We employ low-frequency data to estimate historical volatility measures for Hong Kong stocks and examine the relationship between these measures and the one-month ahead stock return over thirty-five years. First, we employ a stock's past three-year weekly return to compute idiosyncratic...

The development and availability of information technology and the possibility of deep integration of internal IT systems with external ones gives a powerful opportunity to analyze data online based on external data providers. Recently, machine learning algorithms play a significant role in...