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...

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...

This paper shows that investors do not fully incorporate cost behavior information into valuation. Firms with higher growth in operating costs generate substantially lower future stock returns and operating performance. An equal-weighted long-short spread portfolio earns an average return of 82...

Using the long-term wavelet component of monthly S&P 500 excess returns as supervision information, we employ a machine learning method to extract the common predictive information of 14 prevalent macroeconomic variables, and construct a new macroeconomic index aligned for predicting stock...

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...

This paper proposes a two-state predictive regression model and shows that stock market 12-month return (TMR), the time-series momentum predictor of Moskowitz, Ooi, and Pedersen (2012), forecasts the aggregate stock market negatively in good times and positively in bad times. The out-of-sample...

This paper constructs a dual-sparse optimal mean-variance factor portfolio to improve the interpretation of the factor portfolio in a set of 187 anomaly portfolios. The dual-sparse method limits the nonzero elements of principal components (PCs) and number of factor invested in cross-section. We...

Corporate social responsibility plays an important role in developing countries achieving green economic development. Using the textual analysis of annual reports of Chinese A-share listed companies, this paper investigates the effect of managerial time orientation on their company's CSR...