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

DOI10.1007/S10479-022-04892-0MaRDI QIDQ2095906zbMATH OpenOpenAlexFDO

Authors Gang Chu, John W. Goodell, Dehua Shen, Yong-jie Zhang

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

equity premiagradient boosting decision treeinvestor attentionpartial least squareprincipal component analysisrandom forestreturn predictability

Mathematics Subject Classification ID

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

Cites work

• Autoencoder asset pricing models
• Common risk factors in the returns on stocks and bonds
• Forecasting benchmarks of long-term stock returns via machine learning
• scientific article; zbMATH DE number 3860199 (Why is no real title available?)
• scientific article; zbMATH DE number 3340880 (Why is no real title available?)
• Prediction of cryptocurrency returns using machine learning
• Random forests
• Salience theory of choice under risk
• The ostrich effect: Selective attention to information

Cited in

(1)

• scientific article; zbMATH DE number 6327387 (Why is no real title available?)

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