---
title: Lower-Tail Risk Premiums in China's Stock Market
url: https://www.ml-quant.com/papers/ssrn/4589935/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4589935
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4589935
featured: 2023-10-04
citations: unknown
topic: Asset Pricing & Factors
---


# Lower-Tail Risk Premiums in China's Stock Market

A study on the Chinese stock market finds that premiums for joint lower-tail risk of liquidity and investor sentiment significantly affect future stock returns.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4589935
- Identifier: SSRN 4589935
- Released: 2023-07-10
- First featured: Quant Letter No. 18 (2023-10-04): https://www.ml-quant.com/issues/2023-10-04/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Asset Pricing & Factors

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