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The benefits of tree-based models for stock selection · Study

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ArticleThe benefits of tree-based models for stock selection

Min Zhu2012

Article2012

The benefits of tree-based models for stock selection

Min Zhu · David Philpotts · Maxwell J. Stevenson

19 citations·0/0 files stored·Journal of Asset Management

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Stock Market Forecasting Methods

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1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1976The arbitrage theory of capital asset pricing 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1996Multifactor Explanations of Asset Pricing Anomalies 1994Contrarian Investment, Extrapolation, and Risk 1991Chaos and Nonlinear Dynamics: Application to Financial Markets 1985

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Year2012

Typearticle

Published2012-09-27

VenueJournal of Asset Management

ISSN-L1470-8272

Languageen

Citations19

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1057/jam.2012.17

openalex_workW2083394791

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Introducing Recursive Partitioning for Financial Classification: The Case of Financial Distress