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Showing 1 to 9 of 9 for “"return prediction"”.

  1. Machine learning approaches to return prediction and portfolio strategies in global equity markets

    Kósa, E.2025

    tilburg Repository record

  2. Artificial Neural Networks in Stock Return Prediction: Testing Model Specification in a Global Context

    Buxton-Tetteh, Naa AyorkorDepartment of Finance and Tax2020

    … and technical factors can accurately predict the returns of a sample of several large-cap stocks from various markets across the globe. This study also explores which hidden layer configuration leads to the best network predictive performance. Furthermore, this research identifies which …

    cape-town Repository record

  3. Machine learning in stock return prediction: evidence from in-sample and out-of-sample tests : how machine learning practices perform in rolling and expanding window approaches

    Turgay, B.Y.2025

    tilburg Repository record

  4. Essays on Real Estate Finance and Machine Learning

    Leow, Kah ShinUniversity of Cambridge2024

    … significant out-of-sample improvement in the return prediction of U.S. REITs. I find that return predictability is improved and REIT investors experience significant economic gains when using machine learning forecasts as compared to traditional OLS forecasts. I also discover that REITs are …

    cambridge Repository record

  5. Research and Development of risk arbitrage trading systems

    Wang, Jiong J. (Jiong John)Massachusetts Institute of Technology2005

    … We utilized this information to develop a merger return prediction model that predicts a merger's return given various deal characteristics. We constructed several portfolios, one using a trading strategy in which we invest equally in every announced deal, one where we invest only in deals that …

    mit Repository record

  6. Cash Flow as a Predictor of Share Returns: Evidence from the Johannesburg Stock Exchange

    Alexandroi, SergeiDepartment of Finance and Tax2019

    … traditional asset-pricing models can model share returns. Despite this, there is limited empirical evidence on cash flow metrics as anomalies, and less so on cash flows as a predictor of share returns. The aim of this study is to provide a new insight into the South African equity market by …

    cape-town Repository record

  7. Essays in Empirical Asset Pricing and International Finance

    Ndoumbe, Emile HerveUniversité d'Ottawa / University of Ottawa2025

    … R², gains in average excess portfolio returns, and a range of risk-adjusted metrics such as the Sharpe ratio, Sortino ratio, Calmar ratio, and gain-to-pain ratio. Moreover, the rolling out-of-sample R² underscores sDOC's adaptability under both calm and turbulent market conditions, …

    ottawa-retro Repository record

  8. Multiple nonlinear prediction of S&P500 returns using an ANFIS

    Winkel, DavidHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät2015

    Diese Arbeit präsentiert mit dem ANFIS ein Konzept aus dem Machine Learning mit dessen Hilfe die Rendite des S&P500 nichtlinear vorhergesagt wird. In Anlehnung an Welch and Goyal (2008) wird als Vergleichsgröße zur Renditevorhersage der historische Durchschnitt der Rendite verwendet. Das ANFIS wird …

    humboldt-diss Repository record

  9. Essays in Financial Economics and Asset Pricing

    Zhao, BinyuRice University2024

    … finding is that precision is priced in excess returns, but the relation between precision and risk premiums is not linear. The main channel for precision to take effects is marginal utility. The sensitivity of a trader's marginal utility to her trading quantity is determined by her risk …

    rice Repository record