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Tree-Based Conditional Portfolio Sorts: The Relation between Past and Future Stock Returns · Study

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PreprintTree-Based Conditional Portfolio Sorts: The Relation between Past and Future Stock Returns

Benjamin Moritz2016

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Preprintgreen2016

Tree-Based Conditional Portfolio Sorts: The Relation between Past and Future Stock Returns

Benjamin Moritz · Tom Zimmermann

121 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1992The Cross-Section of Expected Stock Returns 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1973Risk, Return, and Equilibrium: Empirical Tests 1970Efficient Capital Markets: A Review of Theory and Empirical Work 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 2014A five-factor asset pricing model 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets

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Year2016

Typepreprint

Published2016-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations121

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.2740751

openalex_workW2291108100

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2021

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2023Machine learning and the cross-section of emerging market stock returns

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