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 propose a novel modification to the popular principal component analysis (PCA) by scaling each predictor with its predictive slope on the target to be forecasted. Unlike the PCA that maximizes the common variation of predictors, our scaled PCA, sPCA, puts more weights on those predictors that...

We reaffirm the stylized fact that bond risk premia are time-varying with macroeconomic condition, even with real-time macro data instead of commonly used final revised data. While real-time data are noisier and render standard forecasts insignificant, we find that, with four efficient...

We study which characteristics provide incremental predictive information for the cross-section of expected returns in the Chinese stock market. Our results provide empirical evidence for strong nonlinear relations between expected returns and selected characteristics, especially in the trading...

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...

We study which characteristics provide incremental predictive information for the cross-section of expected returns in the Chinese stock market. Our results provide empirical evidence for strong nonlinear relations between expected returns and selected characteristics, especially in the Trading...

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...