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22
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Introduction
Skills and Expertise
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Publications
Publications (22)
This paper introduces a weather-related sentiment (mood) index (WSI) for the Chinese stock market based on precipitation and temperature data with the PLS method. We find that the WSI is negatively correlated with the equity market and has strong predictive power that is far greater than that of other market and macroeconomic variables. The predict...
This paper compares the explanations and predictabilities of 35 firm-level characteristics in stock returns between developed and ṆṆemerging stock markets using instrumented principal components analysis (IPCA). In contrast to the weak performance of the global model in each region, the local model performs better with lower mispricing errors at th...
This paper proposes a factor timing strategy with information from 146 characteristic‐based factors and a deep learning approach to capture the nonlinear predictability. The deep learning‐based factor timing strategy generates the highest economic value compared with the unconditional and alternative linear machine learning‐based portfolios and rem...
