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Stock Market Anomalies and Machine Learning Across the Globe
16 references·1 citing·22 second hop
Stock Market Anomalies and Machine Learning Across the Globe (2022)Stock Market Anomalies and Machine Learni…Empirical Asset Pricing via Machine Learning (2020)Empirical Asset Pricing via M…Does Academic Research Destroy Stock Return Predictability? (2015)Does Academic Research Destro…… and the Cross-Section of Expected Returns (2015)… and the Cross-Section of Ex…A five-factor asset pricing model (2014)A five-factor asset pricing m…Presidential Address: Discount Rates (2011)Presidential Address: Discoun…Chapter 4 Forecast Combinations (2006)Chapter 4 Forecast Combinatio…The M3-Competition: results, conclusions and implications (2000)The M3-Competition: results, …On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Market Efficiency, Long-Term Returns, and Behavioral Finance (1997)Market Efficiency, Long-Term …Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…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…Combining forecasts: A review and annotated bibliography (1989)Combining forecasts: A review…The relationship between return and market value of common stocks (1981)The relationship between retu…The Combination of Forecasts (1969)The Combination of ForecastsEditor's Choice Digesting Anomalies: An Investment ApproachEditor's Choice Digesting Ano…Machine Learning and the Cross-Section of Cryptocurrency Returns (2022)Machine Learning and the Cros…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Expectations of Returns and Expected Returns (2014)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Comparing Predictive Accuracy (1994)Artificial intelligence and machine learning in finance: Identifying foundations, themes, and research clusters from bibliometric analysis (2021)Machine learning advances for time series forecasting (2021)Machine learning in the Chinese stock market (2021)Time series forecasting using a hybrid ARIMA and neural network model (2003)25 years of time series forecasting (2006)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Hedging Climate Change News (2019)Dissecting green returns (2022)Do Shareholders Benefit from Green Bonds? (2018)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1969The Combination of Forecasts3,194 cited
  • 2020Empirical Asset Pricing via Machine Learning2,528 cited
  • n.d.Editor's Choice Digesting Anomalies: An Investment Approach2,508 cited
  • 2011Presidential Address: Discount Rates2,222 cited
  • 1989Combining forecasts: A review and annotated bibliography2,170 cited
  • 2015… and the Cross-Section of Expected Returns2,112 cited
  • 2000The M3-Competition: results, conclusions and implications1,700 cited
  • 2015Does Academic Research Destroy Stock Return Predictability?1,563 cited
  • 2006Chapter 4 Forecast Combinations1,318 cited
  • 1997Market Efficiency, Long-Term Returns, and Behavioral Finance

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