Lasso Selection of Firm-Level Stock Return Predictors : How Many Matter?

We use a lasso regression to select firm-level characteristics that predict future stock returns. Interestingly, the set of predictors selected are different, depending on the horizon. For one year horizon, the lasso regression places a non-zero weight on more characteristics than for five-year horizon. Profitability, customer-momentum, dominate the short-run, while book-to-market, and sectoral efefcts (durability, upstreamness) dominate the long-run

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Year of publication:	2022
Authors:	Gong, Xin-Yi
Publisher:	[S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource (3 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 2, 2022 erstellt Volltext nicht verfügbar
Classification:	G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014236534