Under the UN sustainable development goals (SDGs), the United States (US) and China have ambitious environmental, social, and governance (ESG) investment plans. However, dichotomy is found in the literature about how rising ESG practices affect firm value (FV). This study examines the linear and...

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 constructs a global anomaly index based on the 153 long-short portfolio returns of 33 stock markets. We find that global anomaly index is a strong negative predictor of future aggregate stock returns in international markets both in- and out-of-sample. It captures the common change in...

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 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...

Based on 10 commonly used non-momentum factors, we construct a novel factor momentum strategy and find that it earns an annualized return of 9.91% and a Sharpe ratio of 1.15 in the Chinese stock market, which lacks stock-level momentum. We also find that factor momentum has strong explanatory...

This paper proposes a factor timing strategy with information from 146 characteristic-based factors and a deep learning approach to capture nonlinear predictability. The deep learning-based factor timing strategy generates the highest economic value compared with the unconditional and...

We propose a new latent factor model for the Chinese stock market, based on the instrumented principal component analysis (IPCA). Compared with other common asset pricing models, the new latent factor model explains a larger proportion of individual and portfolio return variation, and shows...