Machine learning to establish proxies for investor attention: evidence of improved stock-return prediction

DOI10.1007/S10479-022-04892-0OpenAlexW4290182684MaRDI QIDQ2095906

Yongjie Jessica Zhang, Gang Chu, Dehua Shen, John W. Goodell

Publication date: 15 November 2022

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-022-04892-0

zbMATH Keywords

principal component analysisrandom forestreturn predictabilityinvestor attentionpartial least squaregradient boosting decision treeequity premia

Mathematics Subject Classification ID

Artificial intelligence (68Txx) Mathematical economics (91Bxx) Multivariate analysis (62Hxx)

Cites Work

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• Prediction of cryptocurrency returns using machine learning
• Forecasting benchmarks of long-term stock returns via machine learning
• The ostrich effect: Selective attention to information
• Autoencoder asset pricing models
• Salience Theory of Choice Under Risk
• Common risk factors in the returns on stocks and bonds
• Random forests

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