Motivated by Bali et al. (2016) who find U.S. economic policy uncertainty (EPU) is priced in the cross-section of U.S. stock returns, we use weekly data from March 2006 to April 2016 to study whether shocks in U.S. EPU also influence prices of China's A-shares from market, industry, and...

We find profitability measures fail to explain future stock returns of China's A-shares. In addition, although profitability growth significantly and positively correlates with the cumulative stock return in the following year, profitability measures do not predict profitability growth,...