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Machine Learning Goes Global: Cross-Sectional Return Predictability in International Stock Markets
16 references·5 citing·32 second hop
Machine Learning Goes Global: Cross-Sectional Return Predictability in International Stock Markets (2022)Machine Learning Goes Global: Cross-Secti…Market Liquidity and Funding Liquidity (2008)Market Liquidity and Funding …What matters for financial development? Capital controls, institutions, and interactions (2005)What matters for financial de…Earnings management and investor protection: an international comparison (2003)Earnings management and inves…The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)The information content of st…Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Bad News Travels Slowly: Size…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Earnings management to avoid earnings decreases and losses (1997)Earnings management to avoid …Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings? (1996)Do Stock Prices Fully Reflect…The Limits of Arbitrage (1995)The Limits of ArbitrageDetecting Earnings Management. (1995)Detecting Earnings Management.Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyCommon risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …The Combination of Forecasts (1969)The Combination of ForecastsRecency bias and the cross-section of international stock returns (2023)Recency bias and the cross-se…Automated stock picking using random forests (2023)Automated stock picking using…Stock Market Anomalies and Machine Learning Across the Globe (2022)Stock Market Anomalies and Ma…Machine Learning and the Cross-Section of Cryptocurrency Returns (2022)Machine Learning and the Cros…Alpha Go Everywhere: Machine Learning and International Stock Returns (2019)Alpha Go Everywhere: Machine …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)A model of investor sentiment /The Behavior of Stock-Market Prices (1965)Investor Sentiment and the Cross‐Section of Stock Returns (2006)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)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)Continuous Auctions and Insider Trading (1985)Liquidity and leverage (2008)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)A Survey of Corporate Governance (1997)Law and Finance (1998)Corporate Ownership Around the World (1999)The economic implications of corporate financial reporting (2005)International Accounting Standards and Accounting Quality (2008)Understanding earnings quality: A review of the proxies, their determinants and their consequences (2010)Earnings Management through Real Activities Manipulation (2003)Performance matched discretionary accrual measures (2005)Multifactor Explanations of Asset Pricing Anomalies (1996)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)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)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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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
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1995Detecting Earnings Management.6,532 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 2003Earnings management and investor protection: an international comparison5,395 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 2008Market Liquidity and Funding Liquidity5,007 cited
  • 1997Earnings management to avoid earnings decreases and losses3,839 cited
  • 2000The information content of stock markets: why do emerging markets have synchronous stock price movements?3,332 cited
  • 1969The Combination of Forecasts3,194 cited
  • 2005What matters for financial development? Capital controls, institutions, and interactions2,650 cited
  • 2000Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies2,639 cited
  • 1996

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Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings?
2,636 cited

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