Exploring the factor zoo with a machine-learning portfolio
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DOI: 10.1016/j.irfa.2024.103599
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More about this item
Keywords
Factor model; Firm characteristic; Return predictability;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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