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Equity‐premium prediction: Attention is all you need
16 references·0 citing·44 second hopsampled
Equity‐premium prediction: Attention is all you need (2022)Equity‐premium prediction: Attention is a…Empirical Asset Pricing via Machine Learning (2020)Empirical Asset Pricing via M…Manager sentiment and stock returns (2018)Manager sentiment and stock r…Transparency and Deliberation Within the FOMC: A Computational Linguistics Approach* (2017)Transparency and Deliberation…News implied volatility and disaster concerns (2016)News implied volatility and d…FRED-MD: A Monthly Database for Macroeconomic Research (2015)FRED-MD: A Monthly Database f…Market Expectations in the Cross‐Section of Present Values (2013)Market Expectations in the Cr…Handbook of Economic Forecasting (2013)Handbook of Economic Forecast…When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks (2011)When Is a Liability Not a Lia…Forecasting economic time series using targeted predictors (2008)Forecasting economic time ser…Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Giving Content to Investor Se…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Forecasting Using Principal Components From a Large Number of Predictors (2002)Forecasting Using Principal C…Tests for Forecast Encompassing (1998)Tests for Forecast Encompassi…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Book Review: Time Series Analysis: Forecasting and Control (1977)Macroeconomics and Reality (1980)Statistical analysis of cointegration vectors (1988)25 years of time series forecasting (2006)Probabilistic Forecasts, Calibration and Sharpness (2007)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)New Indexes of Coincident and Leading Economic Indicators (1989)Determining the Number of Factors in Approximate Factor Models (2002)Macroeconomic Forecasting Using Diffusion Indexes (2002)Measuring Uncertainty (2015)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)To Explain or to Predict? (2010)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)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)Comparing Predictive Accuracy (1995)Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments (2018)Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? (2021)Deep Learning in Asset Pricing (2023)The General Theory of Employment, Interest and Money. (1936)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Dividend yields and expected stock returns (1988)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Policy Uncertainty and Corporate Investment (2015)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)
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*24,470 cited
  • 2011When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks6,003 cited
  • 2007Giving Content to Investor Sentiment: The Role of Media in the Stock Market4,971 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 2020Empirical Asset Pricing via Machine Learning2,832 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 2013Handbook of Economic Forecasting1,290 cited
  • 2015FRED-MD: A Monthly Database for Macroeconomic Research908 cited
  • 1998Tests for Forecast Encompassing786 cited
  • 2018Manager sentiment and stock returns741 cited
  • 2016News implied volatility and disaster concerns725 cited
  • 2008Forecasting economic time series using targeted predictors704 cited
  • 2017Transparency and Deliberation Within the FOMC: A Computational Linguistics Approach*

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633 cited
  • 2013Market Expectations in the Cross‐Section of Present Values577 cited
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