Research Article
The Risk of Individual Stocks’ Tail Dependence with the Market and Its Effect on Stock Returns
Table 2
Asset pricing factors. Panel (a) in this table contains the means, standard deviations, minimums, medians, and maximums of the variables we study in our paper. All statistics are calculated from the full sample, that is, pooling all months. TDC and BETA are the postranking portfolio TDCs and betas, while DBETA is downside beta. SIZE is the market capitalization of tradable shares in RMB million. BTM, LEV, and E/P represent the book-to-market, leverage, and earnings-price ratio, respectively. The following are the square root of Amihud’s liquidity measure denoted by ASQT and the Turnover denoted by TURN. MTM is the momentum calculated as the average percentage returns over the preceding two years, while VOL is the standard deviation of the weekly returns over the preceding two years. Panel (b) provides the time-series means of monthly correlations of the variables. The values in the upper lower triangular part are Pearson’s correlations, while the Spearman’s rank correlations in italic type are given in the lower triangular part. The correlations with superscript “” are significantly different from zero at 5%.
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