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Our study tries to explore whether the financial strength proxied by F-score can predict the returns in Chinese stock market and its economic explanations. Results show that the financially stronger firms can generate higher expected raw returns and abnormal returns in Fama-French five-factor...
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We reaffirm the stylized fact that bond risk premia are time-varying with macroeconomic condition, even with real-time macro data instead of commonly used final revised data. While real-time data are noisier and render standard forecasts insignificant, we find that, with four efficient...
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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...
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