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Enhancing stock market anomalies with machine learning
16 references·1 citing·18 second hop
Enhancing stock market anomalies with machine learning (2022)Enhancing stock market anomalies with mac…Empirical Asset Pricing via Machine Learning (2020)Empirical Asset Pricing via M…Deep learning with long short-term memory networks for financial market predictions (2017)Deep learning with long short…A five-factor asset pricing model (2014)A five-factor asset pricing m…The price of sin: The effects of social norms on markets (2009)The price of sin: The effects…Corporate Governance and Equity Prices (2003)Corporate Governance and Equi…Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Market efficiency, long-term …On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…The file drawer problem and tolerance for null results. (1979)The file drawer problem and t…INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)INVESTMENT PERFORMANCE OF COM…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Equilibrium in a Capital Asset Market (1966)Equilibrium in a Capital Asse…The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Valuation of Risk Assets …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Editor's Choice Digesting Anomalies: An Investment ApproachEditor's Choice Digesting Ano…Stock Market Anomalies and Machine Learning Across the Globe (2022)Stock Market Anomalies and Ma…Artifact in behavioral research (1969)The Handbook of Social Psychology (1969)Meta-analysis of Observational Studies in Epidemiology A Proposal for Reporting (2000)Trim and Fill: A Simple Funnel‐Plot–Based Method of Testing and Adjusting for Publication Bias in Meta‐Analysis (2000)Estimating the reproducibility of psychological science (2015)The Behavior of Stock-Market Prices (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)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)Illiquidity and stock returns: cross-section and time-series effects (2002)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Multifactor Explanations of Asset Pricing Anomalies (1996)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)How do family ownership, control and management affect firm value? (2005)How does financial reporting quality relate to investment efficiency? (2009)The Impact of Corporate Sustainability on Organizational Processes and Performance (2014)Do Shareholders Benefit from Green Bonds? (2018)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1979The file drawer problem and tolerance for null results.9,043 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,600 cited
  • 2003Corporate Governance and Equity Prices6,115 cited
  • 1966Equilibrium in a Capital Asset Market4,896 cited
  • 2017Deep learning with long short-term memory networks for financial market predictions2,827 cited
  • 2009The price of sin: The effects of social norms on markets2,600 cited
  • 1998Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.12,572 cited
  • 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS

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2,562 cited
  • 2020Empirical Asset Pricing via Machine Learning2,528 cited
  • n.d.Editor's Choice Digesting Anomalies: An Investment Approach2,508 cited
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    • 2022Stock Market Anomalies and Machine Learning Across the Globe33 cited