Applying the market tail risk measure proposed by Kelly and Jiang in the China's A-shares market, we find that the monthly market tail risk significantly and negatively predicts the monthly industrial output growth rate up to 1 year. In addition, from July 2007 to June 2019, we find that stocks with a higher tail risk outperform stocks with a lower tail risk by 0.62% (0.30% after risk adjustment) per month. Using
We find that cumulative abnormal returns adjusted by size, book-to-market, and momentum around the earnings announcement date (DGTW_CAR3 hereafter) significantly and positively predict stock returns in the 6-month period from May 2005 to October 2020 in the China's A-shares market. The monthly equally-weighted DGTW_CAR3 premiums are 0.47% and 0.67% after risk adjustment. Although stock price delay fails to fully account for the DGTW_CAR3 premium, we find that the DGTW_CAR3 premium is more significant for illiquid stocks and during periods with high investor sentiment. This result suggests that market ineffi-
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.