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 adopt a portfolio perspective and apply a subset combination approach to consolidate the joint predictability of a large number of firm characteristics in the Chinese A-share market. Our approach incorporates higher moments of stock return distribution and imposes shrinkage on the predictive...

This paper shows that investors do not fully incorporate cost behavior information into valuation. Firms with higher growth in operating costs generate substantially lower future stock returns and operating performance. An equal-weighted long-short spread portfolio earns an average return of 82...

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...

Using the long-term wavelet component of monthly S&P 500 excess returns as supervision information, we employ a machine learning method to extract the common predictive information of 14 prevalent macroeconomic variables, and construct a new macroeconomic index aligned for predicting stock...

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...

Our study tries to explore whether the financial strength proxied by F-score can predict the returns in Chinese stock market and its economic explanations. Results show that the financially stronger firms can generate higher expected raw returns and abnormal returns in Fama-French five-factor...