We track the informed investors' behavior and find fundamental momentum effect in the Chinese stock market. We train the deep learning model with a set of fundamental characteristics to extract fundamental implied component from realized returns. The fundamental part characterizes the price...

We propose a global expected business cycle condition factor (GEBC) relying on OECD leading economic indicators of 18 stock markets through Principal Component Analysis (PCA) approach, and show that this index is a powerful predictor for stock returns around the globe both in- and out-of-sample....

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...

We introduce a variation of Yu(2011)'s weighted bagging estimation method and show it substantially improves the predictability of the equity premium and other economic variables. This new machine learning method sharply improves equity premium predictability of many models with significant...

Corporate social responsibility (CSR) plays an important role in developing countries achieving sustainable goals. Using the textual analysis of Chinese earnings communication conferences, this research examines the relationship between managerial time perspective and their company's CSR...

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...

Corporate social responsibility plays an important role in developing countries achieving green economic development. Using the textual analysis of annual reports of Chinese A-share listed companies, this paper investigates the effect of managerial time orientation on their company's CSR...

Using the long-term wavelet component of monthly S&P500 excess returns as supervision information, we employ a partial least squares method to extract the common predictive information of 14 prevalent macroeconomic variables, and construct a new macroeconomic index aligned for predicting stock...

In this paper we propose an approach to measure real-time economic conditions using economic news narratives. We construct a News-based Daily Economic Condition Index (NDEI) relying on interpretable news topics estimated from the full text content of 800,000 Wall Street Journal articles. The...