A number of studies have investigated the predictability of Chinese stock returns with economic variables.Given the newly emerged dataset from the Internet,this paper investigates whether the Baidu Index can be employ...A number of studies have investigated the predictability of Chinese stock returns with economic variables.Given the newly emerged dataset from the Internet,this paper investigates whether the Baidu Index can be employed to predict Chinese stock returns.The empirical results show that 1)the Search Frequency of Baidu Index(SFBI)can predict next day’s price changes;2)the stock prices go up when individual investors pay less attention to the stocks and go down when individual investors pay more attention to the stocks;3)the trading strategy constructed by shorting on the most SFBI and longing on the least SFBI outperforms the corresponding market index returns without consideration of the transaction costs.These results complement the existing literature on the predictability of Chinese stock returns and have potential implications for asset pricing and risk management.展开更多
Forecasting stock returns is extremely challenging in general,and this task becomes even more difficult given the turbulent nature of the Chinese stock market.We address the stock selection process as a statistical le...Forecasting stock returns is extremely challenging in general,and this task becomes even more difficult given the turbulent nature of the Chinese stock market.We address the stock selection process as a statistical learning problem and build crosssectional forecast models to select individual stocks in the Shanghai Composite Index.Decile portfolios are formed according to rankings of the forecasted future cumulative returns.The equity market’s neutral portfolio-formed by buying the top decile portfolio and selling short the bottom decile portfolio-exhibits superior performance to,and a low correlation with,the Shanghai Composite Index.To make our strategy more useful to practitioners,we evaluate the proposed stock selection strategy’s performance by allowing only long positions,and by investing only in Ashare stocks to incorporate the restrictions in the Chinese stock market.The longonly strategies still generate robust and superior performance compared to the Shanghai Composite Index.A close examination of the coefficients of the features provides more insights into the changes in market dynamics from period to period.展开更多
基金This work is supported by the National Natural Science Foundation of China(71320107003 and 71532009).
文摘A number of studies have investigated the predictability of Chinese stock returns with economic variables.Given the newly emerged dataset from the Internet,this paper investigates whether the Baidu Index can be employed to predict Chinese stock returns.The empirical results show that 1)the Search Frequency of Baidu Index(SFBI)can predict next day’s price changes;2)the stock prices go up when individual investors pay less attention to the stocks and go down when individual investors pay more attention to the stocks;3)the trading strategy constructed by shorting on the most SFBI and longing on the least SFBI outperforms the corresponding market index returns without consideration of the transaction costs.These results complement the existing literature on the predictability of Chinese stock returns and have potential implications for asset pricing and risk management.
文摘Forecasting stock returns is extremely challenging in general,and this task becomes even more difficult given the turbulent nature of the Chinese stock market.We address the stock selection process as a statistical learning problem and build crosssectional forecast models to select individual stocks in the Shanghai Composite Index.Decile portfolios are formed according to rankings of the forecasted future cumulative returns.The equity market’s neutral portfolio-formed by buying the top decile portfolio and selling short the bottom decile portfolio-exhibits superior performance to,and a low correlation with,the Shanghai Composite Index.To make our strategy more useful to practitioners,we evaluate the proposed stock selection strategy’s performance by allowing only long positions,and by investing only in Ashare stocks to incorporate the restrictions in the Chinese stock market.The longonly strategies still generate robust and superior performance compared to the Shanghai Composite Index.A close examination of the coefficients of the features provides more insights into the changes in market dynamics from period to period.
