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Predicting Stock Splits Using Ensemble Machine Learning and SMOTE Oversampling

Liu, Mark H.; Sheather, Simon J. - 2022

This study predicts stock splits using two ensemble machine learning techniques: gradient boosting machines (GBMs) and random forests (RFs). The goal is to form implementable portfolios based on positive predictions to generate abnormal returns. Since splits are rare events, we use SMOTE...

Persistent link: https://www.econbiz.de/10013301594

Predicting Momentum

Ma, Siyuan - 2022

This paper examines to what extent the momentum spread ratio (MSR) can predict momentum profits. The momentum spread ratio as a potential proxy of investor underreaction can significantly predict the momentum, industry momentum, and residual momentum, especially after 1994, suggesting that...

Persistent link: https://www.econbiz.de/10013404733

Do Analysts Forecast Differently in Periods of Uncertainty? An Empirical Analysis of Target Prices for Spanish Banks

Pascual González, Roberto - 2022

Target prices are an estimation of the future value of a company’s stock price. Although there is a general consensus about the importance of firm’s fundamentals when forecasting, there are also other determinants. This article sheds light on the effects of uncertainty, financial stress and...

Persistent link: https://www.econbiz.de/10013307999

International Economic Policy Uncertainty and Properties of Analysts’ Earnings Forecasts

Le, Cao Hoang Anh; Shan, Yaowen; Taylor, Stephen L. - 2023

positively associated with analyst coverage, the size of forecast errors, as well as the extent of forecast dispersion … and both forecast accuracy and dispersion is stronger for firms in the resources and mining industries, and for longer … forecast horizons. Our results are consistent with heightened EPU being associated with a decline in firms’ information …

Persistent link: https://www.econbiz.de/10014355572

Forecasting Stock Returns

Rapach, David; Zhou, Guofu - 2023

predictability, popular predictors from the literature fail to outperform the simple historical average benchmark forecast in out … model restrictions, forecast combination, diffusion indices, and regime shifts—improve forecasting performance by addressing …

Persistent link: https://www.econbiz.de/10014351279

Big data, accounting information, and valuation

Nissim, Doron - In: The Journal of finance and data science : JFDS 8 (2022), pp. 69-85

This paper reviews research that uses big data and/or machine learning methods to provide insight relevant for equity valuation. Given the huge volume of research in this area, the review focuses on studies that either use or inform on accounting variables. The article concludes by providing...

Persistent link: https://www.econbiz.de/10014433769

Financial Analysts’ Response After Corporate Earnings Announcements and Forecast Quality

Charitou, Andreas; Floropoulos, Nikolaos - 2021

We create an alternative, simpler definition of analyst forecast timeliness leaders based on their response after the … prior definitions of timeliness. Furthermore, prior forecast accuracy is positively associated to the forecast …

Persistent link: https://www.econbiz.de/10013226876

Can Internet search queries help to predict stock market volatility?

Dimpfl, Thomas; Jank, Stephan - 2011

This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search queries. We find a strong co-movement of stock market indices’ realized volatility and the search queries for their names. Furthermore, Granger causality is bi-directional: high...

Persistent link: https://www.econbiz.de/10009355522

Can internet search queries help to predict stock market volatility?

Dimpfl, Thomas; Jank, Stephan - 2011 - First draft: October 10, 2011, This draft: October 25, 2011

This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search queries. We find a strong co-movement of stock market indices' realized volatility and the search queries for their names. Furthermore, Granger causality is bi-directional: high...

Persistent link: https://www.econbiz.de/10009357284

Predictability of Implied Volatility : Evidence from the Over-the-counter Currency Option Markets

Wong, Alfred H.S. - 2011

This paper provides an empirical study on the predictability of implied volatility using dataset collected from the London over-the-counter currency option market. The present work is motivated by the lack of empirical studies that address implied volatility characteristics across various...

Persistent link: https://www.econbiz.de/10013121151