Description:
This study applies machine learning models to explore the predictive power of ten categories of financial indicators in Chinese stock market. Meanwhile, we assess whether influential financial indicators cluster into specific categories that hold greater importance for stock return prediction. The findings demonstrate that financial indicators across ten categories hold predictive power for monthly stock returns on Chinese market, with machine learning models outperforming linear models. Among the most influential indicators are those related to Profitability and Growth categories. This research contributes to better understanding of financial indicators and highlights the effectiveness of machine learning models in Chinese stock market