A new salient factor and equity returns: empirical evidence from A-Shares

Hailin Zhou, Zhangzhi Hu and Xinyu Wu

Applied Economics Letters, 2025, vol. 32, issue 2, 286-294

Abstract: This paper develops a new salient factor, STZ, which synthesizes the price-limit-hitting system and the situational dependence of investors on information responses. STZ is capable of predicting stock returns. By analyzing the data of A-shares from May 2000 to April 2023, we employ univariate ranking, conditional bivariate ranking, and Fama-MacBeth regression to investigate the predictive power of salient factors on stock returns. The findings indicate that stocks with a high STZ score exhibit negative returns in the following month, while stocks with a low STZ score demonstrate positive returns.

Date: 2025
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DOI: 10.1080/13504851.2024.2406952

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