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 a negative cross-sectional relationship between the change in left-tail risk and expected returns in the Chinese stock market. This effect cannot be explained by the common control variables and existing factor models in China, including the four-factor model (CH4)...

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...