We investigate the impact of China's economic policy uncertainty (EPU) on the time series variation of Chinese stock market expected returns. Using the news based measure in Baker, Bloom, and Davis (2016), we find that EPU predicts negatively future stock market return at various horizons. This...

We compare several representative sophisticated model averaging and variable selection techniques of forecasting stock returns. When estimated traditionally, our results confirm that the simple combination of individual predictors is superior. However, sophisticated models improve dramatically...

This paper investigates the predictive ability of international volatility risk for the daily aggregate Chinese stock market returns. We employ the innovations in implied volatility indices of seven major international markets as our international volatility risk proxies. We find that...

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 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...

This paper examines the predictability and economic grounds of high-dimensional fundamental characteristics on stock price crash risk. By building a comprehensive set of characteristics in the Chinese stock market and using various machine learning algorithms, we highlight the outperformance of...