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 find that the idiosyncratic volatility (IV) effect on expected returns exists and cannot be explained by other variables in the Chinese stock market. The Chinese stock market launched margin trading in March 2010. We therefore study the margin trading target and non-margin...

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...

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 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...