This paper proposes a novel portfolio strategy over individual stocks based on subset combination of a large number of characteristics documented to predict return. Akin to the forecast combination literature, we exploit all characteristics by combining parametric rules that include a particular...

While numerous studies have analyzed the asset allocation issue of US stock market from various angles, much less attention has been paid to the asset allocation issue of Chinese stock market. This article investigates the asset allocation in Chinese stock market from a perspective of...

In this paper, we propose a fundamental timing strategy in both U.S. and Chinese stock market to trade the fundamental sorted portfolios such as value and profitability portfolios in the time series dimension. We find that fundamental timing strategies based on moving average (MA) timing signals...

Markowitz's mean-variance portfolio optimization is either inefficient or impossible when the number of assets becomes relatively large. To overcome this difficulty, we propose several component-wise boosting learning methods that, in a linear regression specification, can iteratively select the...

This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and significantly predicts future stock market returns of the...

Uncertainty is known to be crucial in asset pricing, yet evidence from comprehensive analysis of various uncertainty measures remains sparse. This paper investigates the predictability of stock returns based on economic fundamentals uncertainty by constructing a novel uncertainty index derived...

This paper constructs a dual-sparse optimal mean-variance factor portfolio to improve the interpretation of the factor portfolio in a set of 187 anomaly portfolios. The dual-sparse method limits the nonzero elements of principal components (PCs) and number of factor invested in cross-section. We...