This study conducts a comprehensive and systematic empirical examination of the variables that can predict the cross-sectional alphas of the mutual funds in the Chinese market. From 36 predictors considered, it is found that about half show significant predictive ability for ex-post fund alphas...

This paper investigates the predictability of the economic policy uncertainty (EPU) on factor returns in the Chinese market. We find that the EPU significantly and negatively predicts the size premium (i.e., SMB, small-minus-big returns) in both short and long horizons. However, such results are...

We develop a revised factor model, accounting for unique features of Chinese markets, and evaluate the performance of competing asset pricing models. Extant literature reveals that eliminating the smallest 30% of stocks improves the performance of factor models. The revised factor model excludes...