- Published
- 2021-08-27
- Venue
- Journal of Financial Economics, vol. 145, no. 2, pp. 64-82
- Cited by
- 591
- Open access
- Yes, hybrid
- DOI
- 10.1016/j.jfineco.2021.08.017
Abstract
We add to the emerging literature on empirical asset pricing in the Chinese stock market by building and analyzing a comprehensive set of return prediction factors using various machine learning algorithms. Contrasting previous studies for the US market, liquidity emerges as the most important predictor, leading us to closely examine the impact of transaction costs. The retail investors’ dominating presence positively affects short-term predictability, particularly for small stocks. Another feature that distinguishes the Chinese market from the US market is the high predictability of large stocks and state-owned enterprises over longer horizons. The out-of-sample performance remains economically significant after transaction costs.
Cite this paper
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- APA 7
Leippold, M., Wang, Q., & Zhou, W. (2021). Machine learning in the Chinese stock market. Journal of Financial Economics, 145(2), 64–82. https://doi.org/10.1016/j.jfineco.2021.08.017
- MLA 9
Leippold, Markus, et al. "Machine learning in the Chinese stock market." Journal of Financial Economics, vol. 145, no. 2, 2021, pp. 64–82, https://doi.org/10.1016/j.jfineco.2021.08.017.
- Chicago
Leippold, Markus, Qian Wang, and Wenyu Zhou. "Machine learning in the Chinese stock market." Journal of Financial Economics 145, no. 2 (2021): 64–82. https://doi.org/10.1016/j.jfineco.2021.08.017.
- GOST
Leippold M., Wang Q., Zhou W. Machine learning in the Chinese stock market // Journal of Financial Economics. — 2021. — Vol. 145, № 2. — P. 64–82. — URL: https://doi.org/10.1016/j.jfineco.2021.08.017
- BibTeX
@article{leippold2021machine, title = {{Machine learning in the Chinese stock market}}, author = {Markus Leippold and Qian Wang and Wenyu Zhou}, journal = {Journal of Financial Economics}, year = {2021}, volume = {145}, number = {2}, pages = {64--82}, doi = {10.1016/j.jfineco.2021.08.017}, url = {https://doi.org/10.1016/j.jfineco.2021.08.017} }- RIS
TY - JOUR AU - Leippold, Markus AU - Wang, Qian AU - Zhou, Wenyu TI - Machine learning in the Chinese stock market JO - Journal of Financial Economics VL - 145 IS - 2 SP - 64 EP - 82 PY - 2021 DA - 2021/08/27 DO - 10.1016/j.jfineco.2021.08.017 UR - https://doi.org/10.1016/j.jfineco.2021.08.017 ER -