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Persistent link: https://www.econbiz.de/10013433586
We use supervised learning to identify factors that predict the cross-section of returns and maximum drawdown for stocks in the US equity market. Our data run from January 1970 to December 2019 and our analysis includes ordinary least squares, penalized linear regressions, tree-based models, and...
Persistent link: https://www.econbiz.de/10014433739
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