Asymmetric Relation Between Firm‐Level Characteristics and Returns
用分位数回归重新考察公司特征与未来股票收益的关系，发现beta、规模、非流动性和MAX等特征在不同收益分位数上存在符号反转的非对称性，且该方法在极端收益预测上优于传统Fama-MacBeth回归。
ABSTRACT This paper applies quantile regression to reassess the relationship between firm characteristics and future stock returns across the return distribution. Unlike traditional OLS methods, this approach captures heterogeneity and tail‐specific dynamics. We show that characteristics such as beta, size, illiquidity and MAX exhibit asymmetry (i.e., sign reversals) across quantiles and that their correlation with return volatility can predict the direction of this asymmetry. The methodology improves out‐of‐sample forecasting relative to classic Fama‐MacBeth regressions, especially for extreme returns and certain firm types. Our findings can inform more targeted investment strategies and highlight the importance of accounting for heterogeneity in cross‐sectional analysis.