A number of studies have investigated the predictability of Chinese stock returns with economic variables. Given the newly emerged dataset from the Internet, this paper investigates whether the Baidu Index can be employed to predict Chinese stock returns. The empirical results show that 1) the...

Through the difference-in-differences (DID) methodology, we find that the connection of China’s high-speed railway (HSR) as an exogenous shock could improve analysts’ forecast performance, leading to more accurate forecasts, decrease the dispersion between analysts, stimulate more forecast...