Referring to the newspaper textual analysis method by Baker etal. (2016), this study constructs a monthly Chinese Real Estate Policy Uncertainty (REPU) index from 2001 to 2018. The index increases significantly near the promulgation of major policies. We also conduct evaluation of the index with...

We combine the standard Campbell and Shiller (1988) present-value model with the classical user cost of housing model to decompose the rental yield into three components: expected future rent growth, cost of capital and risk premium of owning versus renting. We then apply a quarterly dataset of...

A precondition for studying the determinants of A-share return is to identify A-share anomalies. We follow Hou et al. (2020)’s replication procedure to construct 208 Chinese A-share anomalies based on 58 characteristics, and examine them in 8 predictability test approaches. Our main...