This study applies machine learning models to explore the predictive power of ten categories of financial indicators in Chinese stock market. Meanwhile, we assess whether influential financial indicators cluster into specific categories that hold greater importance for stock return prediction....

This paper tests whether value-at-risk has a negative relationship with expected equity returns in China; specifically, we investigate left-tail return momentum. The findings reveal that left-tail momentum is significant during high economic policy uncertainty (EPU) periods. Moreover, when the...