This study focuses on the relationship between individual stocks’ systemic tail risk and future returns. Analyzing data from China's A-share market, we document an abnormal negative crosssectional relationship between stocks’ systemic tail risk and returns, which cannot be explained by firm-specific characteristics. We show that the joint effect of investor expectation of stock return persistence and investor sentiment contributes to the systemic tail risk anomaly. Investors tend to underestimate the loss persistence of stocks that have suffered large losses in the most recent period and overprice such stocks, leading to a strong negative relationship between stock systemic tail risk and return. In addition, constraints on short selling exacerbate individual stocks’ systemic tail risk and also explain the systemic tail risk anomaly.