This paper not only confirms the negative predictive power of a stock’s salient returns but also reveals the incremental predictability of its salient trading volumes on expected returns in the Chinese stock market. Except that the salient volume effect is stronger when investor disagreement...

In this paper, we first confirm the existence of the maximum daily return (MAX) effect in the Chinese stock market. Furthermore, we find that the existence of a maximum daily return is driven by large transactions whereby their relative transaction values explain the MAX effect. This paper...

In this paper, we reveal that in the Chinese stock market, the significant negative relationship between tail risk and expected returns only exists when excluding the bottom 30% market capitalization (small-cap) stocks, a finding that helps to reconcile the mixed result of the tail risk effect...

In this paper, we find that the upside asymmetry calculated based on a new distribution-based asymmetry measure proposed by Jiang, Wu, Zhou, and Zhu (2020) is negatively related to average future returns in the crosssection of Chinese stock returns. By contrast, when using a conventional...

In the Chinese stock market, we find that the cross-sectional relation between value-at-risk (VaR) and expected returns is unclear, which is different from the recent findings in the United States. Additionally, VaR is negatively related with expected returns and cannot be explained by...

In this paper, we propose two asymmetry measures for stock returns. Unlike the popular skewness measure, our measures are based on the distribution function of the data rather than just the third central moment. We present empirical evidence that greater upside asymmetries calculated using our...