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Asset pricing via deep graph learning to incorporate heterogeneous predictors
16 references·0 citing·36 second hop
Asset pricing via deep graph learning to incorporate heterogeneous predictors (2022)Asset pricing via deep graph learning to …Empirical Asset Pricing via Machine Learning (2020)Empirical Asset Pricing via M…When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks (2011)When Is a Liability Not a Lia…Twitter mood predicts the stock market (2011)Twitter mood predicts the sto…Media Coverage and the Cross‐section of Stock Returns (2009)Media Coverage and the Cross‐…More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)More Than Words: Quantifying …Economic Links and Predictable Returns (2008)Economic Links and Predictabl…Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Giving Content to Investor Se…Information Uncertainty and Stock Returns (2006)Information Uncertainty and S…Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Is All That Talk Just Noise? …Time series forecasting using a hybrid ARIMA and neural network model (2003)Time series forecasting using…Do Industries Explain Momentum? (1999)Do Industries Explain Momentu…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE 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.] (1975)Financial Intermediation and Delegated Monitoring (1984)Book Review: Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Forecasting with artificial neural networks: (1998)A hybrid ARIMA and support vector machines model in stock price forecasting (2004)A novel hybridization of artificial neural networks and ARIMA models for time series forecasting (2010)Recurrent Neural Networks for Time Series Forecasting: Current status and future directions (2020)The Behavior of Stock-Market Prices (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Users of the world, unite! The challenges and opportunities of Social Media (2009)Disappearing dividends: changing firm characteristics or lower propensity to pay? (2001)In Search of Attention (2011)Text as Data: The Promise and Pitfalls of Automatic Content Analysis Methods for Political Texts (2013)Textual Analysis in Accounting and Finance: A Survey (2016)Prospect theory: An analysis of decision under risk (1988)Data mining with big data (2013)Personality, Gender, and Age in the Language of Social Media: The Open-Vocabulary Approach (2013)Social Media: Defining, Developing, and Divining (2015)The General Theory of Employment, Interest and Money. (1936)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Comparing Predictive Accuracy (1994)A five-factor asset pricing model (2014)Characteristics are covariances: A unified model of risk and return (2019)Artificial intelligence and machine learning in finance: Identifying foundations, themes, and research clusters from bibliometric analysis (2021)Forecasting: theory and practice (2022)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Framing of Decisions and the Psychology of Choice (1981)Advances in prospect theory: Cumulative representation of uncertainty (1992)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)
this work references cited by second hop

References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*24,470 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*20,205 cited
  • 1976The arbitrage theory of capital asset pricing7,207 cited
  • 2011When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks6,003 cited
  • 2011Twitter mood predicts the stock market5,252 cited
  • 2007Giving Content to Investor Sentiment: The Role of Media in the Stock Market4,971 cited
  • 2003Time series forecasting using a hybrid ARIMA and neural network model4,583 cited
  • 2020Empirical Asset Pricing via Machine Learning2,832 cited
  • 2004Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards2,431 cited
  • 2008More Than Words: Quantifying Language to Measure Firms' Fundamentals2,316 cited
  • 2009Media Coverage and the Cross‐section of Stock Returns1,967 cited
  • 2006Information Uncertainty and Stock Returns1,844 cited
  • 1999Do Industries Explain Momentum?1,770 cited

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  • 2008Economic Links and Predictable Returns1,411 cited
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