Publication: Machine-Learning in the Chinese Factor Zoo
Machine-Learning in the Chinese Factor Zoo
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Leippold, M., Wang, Q., & Zhou, W. (2022). Machine-Learning in the Chinese Factor Zoo. Journal of Financial Economics, 145(2), 64–82. https://doi.org/10.1016/j.jfineco.2021.08.017
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We add to the emerging literature on empirical asset pricing in the Chinese stock market by building and analyzing a comprehensive set of factors with 1,160 signals for return prediction. Using various machine learning algorithms, we investigate which signals dominate in the Chinese market, a market characterized by a large proportion of retail investors with speculative motives, state-owned firms, and short-sales restrictions. Contrary to studies for the U.S. market, liquidity and fundamental factors emerge as the most important pred
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Leippold, M., Wang, Q., & Zhou, W. (2022). Machine-Learning in the Chinese Factor Zoo. Journal of Financial Economics, 145(2), 64–82. https://doi.org/10.1016/j.jfineco.2021.08.017
