Cai-Yue Zhao

Predicting CSI 800 Sector Index Returns in China ——A Multifactor Statistical and Regularized Learning Approach

Industry allocation is critical to asset allocation and a major source of excess returns in active investing. This study explores sector return predictability in China with a multifactor framework. We employ monthly data spanning January 2019 to June 2026 for 11 CSI 800 primary sector indices and build 11 predictors, i...