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Can value-based stock selection criteria yield superior risk-adjusted returns: an application of neural networks
10 references·9 citing·39 second hop
Can value-based stock selection criteria yield superior risk-adjusted returns: an application of neural networks (2003)Can value-based stock selection criteria …The relationship between mutual fund fees and expenses and their effects on performance (1998)The relationship between mutu…The New Finance: The Case Against Efficient Markets. (1995)The New Finance: The Case Aga…The New Finance: The Case Against Efficient Markets (1995)The New Finance: The Case Aga…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Artificial neural network models for forecasting and decision making (1994)Artificial neural network mod…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Earnings Yields, Market Values, and Stock Returns (1989)Earnings Yields, Market Value…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…The Performance of Mutual Funds in the Period 1945-1964 (1968)The Performance of Mutual Fun…BRICS Capital Markets Co-Movement Analysis and Forecasting (2022)BRICS Capital Markets Co-Move…Neural Network Models for Stock Selection Based on Fundamental Analysis (2019)Neural Network Models for Sto…Neural network forecasting in prediction Sharpe ratio: Evidence from EU debt market (2019)Neural network forecasting in…Using mixture design and neural networks to build stock selection decision support systems (2015)Using mixture design and neur…Profit-based stock selection approach in banking sector using Fuzzy AHP and MOORA method (2015)Profit-based stock selection …The Integration of Artificial Neural Networks and Text Mining to Forecast Gold Futures Prices (2014)The Integration of Artificial…Resource allocation neural network in portfolio selection (2007)Resource allocation neural ne…Computational intelligence approaches and linear models in case studies of forecasting exchange rates (2006)Computational intelligence ap…Can a Neural Network Property Portfolio Selection Process Outperform the Property Market? (2005)Can a Neural Network Property…The accuracy of extrapolation (time series) methods: Results of a forecasting competition (1982)A neural network model for bankruptcy prediction (1990)Managerial Applications of Neural Networks: The Case of Bank Failure Predictions (1992)How effective are neural networks at forecasting and prediction? A review and evaluation (1998)Comparison of direct and iterative artificial neural network forecast approaches in multi-periodic time series forecasting (2008)Stock price prediction using DEEP learning algorithm and its comparison with machine learning algorithms (2019)Mutual Fund Performance (1966)On the Impossibility of Informationally Efficient Markets (1980)Index Mutual Funds and Exchange-Traded Funds (2003)Mutual fund characteristics, managerial attributes, and fund performance (2004)Cash Holdings and Mutual Fund Performance (2013)Risk, Return, and Equilibrium: Empirical Tests (1973)INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)The relationship between return and market value of common stocks (1981)Rational Capital Budgeting in an Irrational World (1996)Earnings-based and accrual-based market anomalies: one effect or two? (2000)Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium (2007)Does the Stock Market Overreact? (1985)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Inefficient Markets (2000)Are Insider Trades Informative? (2001)The Value Premium (2005)Corporate reputation and the stock market (1998)Emotion and Financial Markets (2003)A method for automatic stock trading combining technical analysis and nearest neighbor classification (2010)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Efficient Market Hypothesis (EMH): Past, Present and Future (2008)Efficient Capital Markets: II (1991)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)
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References

  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 cited
  • 1968The Performance of Mutual Funds in the Period 1945-19641,708 cited
  • 1994Contrarian Investment, Extrapolation, and Risk1,354 cited
  • 1989Earnings Yields, Market Values, and Stock Returns497 cited
  • 1994Artificial neural network models for forecasting and decision making450 cited
  • 1995The New Finance: The Case Against Efficient Markets244 cited
  • 1995The New Finance: The Case Against Efficient Markets.220 cited
  • 1998The relationship between mutual fund fees and expenses and their effects on performance140 cited

Cited by

  • 2006Computational intelligence approaches and linear models in case studies of forecasting exchange rates61 cited
  • 2007Resource allocation neural network in portfolio selection56 cited
  • 2015Using mixture design and neural networks to build stock selection decision support systems47 cited
  • 2019Neural Network Models for Stock Selection Based on Fundamental Analysis42 cited
  • 2019

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Neural network forecasting in prediction Sharpe ratio: Evidence from EU debt market
38 cited
  • 2014The Integration of Artificial Neural Networks and Text Mining to Forecast Gold Futures Prices33 cited
  • 2015Profit-based stock selection approach in banking sector using Fuzzy AHP and MOORA method27 cited
  • 2005Can a Neural Network Property Portfolio Selection Process Outperform the Property Market?22 cited
  • 2022BRICS Capital Markets Co-Movement Analysis and Forecasting21 cited