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...

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 investigates the predictive ability of international volatility risk for the daily aggregate Chinese stock market returns. We employ the innovations in implied volatility indices of seven major international markets as our international volatility risk proxies. We find that...

We compare several representative sophisticated model averaging and variable selection techniques of forecasting stock returns. When estimated traditionally, our results confirm that the simple combination of individual predictors is superior. However, sophisticated models improve dramatically...

We show that uncertainty of monetary policy (MPU) commands a risk premium in the US Treasury bond market. Using the news based MPU measure in Baker, Bloom, and Davis (2016) to capture monetary policy uncertainty, we find that MPU forecasts significantly and positively future monthly Treasury...