Momentum in machine learning: Evidence from the Taiwan stock market
Author
Abstract
Suggested Citation
DOI: 10.1016/j.pacfin.2023.102178
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Ivo Welch & Amit Goyal, 2008.
"A Comprehensive Look at The Empirical Performance of Equity Premium Prediction,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1455-1508, July.
- Amit Goyal & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," Yale School of Management Working Papers amz2412, Yale School of Management, revised 01 Jan 2006.
- Amit Goyal & Ivo Welch & Athanasse Zafirov, 2021. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction II," Swiss Finance Institute Research Paper Series 21-85, Swiss Finance Institute.
- Amit Goval & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," NBER Working Papers 10483, National Bureau of Economic Research, Inc.
- Holthausen, Robert W. & Larcker, David F., 1992. "The prediction of stock returns using financial statement information," Journal of Accounting and Economics, Elsevier, vol. 15(2-3), pages 373-411, August.
- Asem, Ebenezer & Tian, Gloria Y., 2010. "Market Dynamics and Momentum Profits," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(6), pages 1549-1562, December.
- Daniele Bianchi & Matthias Büchner & Tobias Hoogteijling & Andrea Tamoni, 2021. "Corrigendum: Bond Risk Premiums with Machine Learning [Bond risk premiums with machine learning]," The Review of Financial Studies, Society for Financial Studies, vol. 34(2), pages 1090-1103.
- Leippold, Markus & Wang, Qian & Zhou, Wenyu, 2022. "Machine learning in the Chinese stock market," Journal of Financial Economics, Elsevier, vol. 145(2), pages 64-82.
- Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2020.
"Taming the Factor Zoo: A Test of New Factors,"
Journal of Finance, American Finance Association, vol. 75(3), pages 1327-1370, June.
- Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2019. "Taming the Factor Zoo: A Test of New Factors," NBER Working Papers 25481, National Bureau of Economic Research, Inc.
- Giglio, Stefano & Feng, Guanhao & Xiu, Dacheng, 2020. "Taming the Factor Zoo: A Test of New Factors," CEPR Discussion Papers 14266, C.E.P.R. Discussion Papers.
- Baker, Malcolm & Stein, Jeremy C., 2004.
"Market liquidity as a sentiment indicator,"
Journal of Financial Markets, Elsevier, vol. 7(3), pages 271-299, June.
- Malcolm Baker & Jeremy C. Stein, 2002. "Market Liquidity as a Sentiment Indicator," Harvard Institute of Economic Research Working Papers 1977, Harvard - Institute of Economic Research.
- Malcolm Baker & Jeremy C. Stein, 2002. "Market Liquidity as a Sentiment Indicator," NBER Working Papers 8816, National Bureau of Economic Research, Inc.
- David Easley & Marcos López de Prado & Maureen O’Hara & Zhibai Zhang & Wei Jiang, 2021. "Microstructure in the Machine Age [The risk of machine learning]," The Review of Financial Studies, Society for Financial Studies, vol. 34(7), pages 3316-3363.
- Bali, Turan G. & Cakici, Nusret & Whitelaw, Robert F., 2011. "Maxing out: Stocks as lotteries and the cross-section of expected returns," Journal of Financial Economics, Elsevier, vol. 99(2), pages 427-446, February.
- Heitor Almeida & Murillo Campello, 2007. "Financial Constraints, Asset Tangibility, and Corporate Investment," The Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1429-1460, 2007 12.
- Richardson, Scott A. & Sloan, Richard G. & Soliman, Mark T. & Tuna, Irem, 2005. "Accrual reliability, earnings persistence and stock prices," Journal of Accounting and Economics, Elsevier, vol. 39(3), pages 437-485, September.
- Daniele Bianchi & Matthias Büchner & Andrea Tamoni, 2021. "Bond Risk Premiums with Machine Learning [Quadratic term structure models: Theory and evidence]," The Review of Financial Studies, Society for Financial Studies, vol. 34(2), pages 1046-1089.
- Guanhao Feng & Jingyu He & Nicholas G. Polson, 2018. "Deep Learning for Predicting Asset Returns," Papers 1804.09314, arXiv.org, revised Apr 2018.
- De Long, J Bradford & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1990.
"Noise Trader Risk in Financial Markets,"
Journal of Political Economy, University of Chicago Press, vol. 98(4), pages 703-738, August.
- J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, "undated". "Noise Trader Risk in Financial Markets," J. Bradford De Long's Working Papers _124, University of California at Berkeley, Economics Department.
- De Long, J. Bradford & Shleifer, Andrei & Summers, Lawrence H. & Waldmann, Robert J., 1990. "Noise Trader Risk in Financial Markets," Scholarly Articles 3725552, Harvard University Department of Economics.
- Frederico Belo & Xiaoji Lin & Santiago Bazdresch, 2014.
"Labor Hiring, Investment, and Stock Return Predictability in the Cross Section,"
Journal of Political Economy, University of Chicago Press, vol. 122(1), pages 129-177.
- Xiaoji Lin & Santiago Bazdrech & Frederico Belo, 2009. "Labor Hiring, Investment and Stock Return Predictability in the Cross Section," FMG Discussion Papers dp628, Financial Markets Group.
- Belo, Frederico & Lin, Xiaoji & Bazdresch, Santiago, 2012. "Labor Hiring, Investment, and Stock Return Predictability in the Cross Section," Working Paper Series 2012-17, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Bazdrech, Santiago & Belo, Frederico & Lin, Xiaoji, 2009. "Labor hiring, investment and stock return predictability in the cross section," LSE Research Online Documents on Economics 24418, London School of Economics and Political Science, LSE Library.
- repec:bla:jfinan:v:53:y:1998:i:6:p:1839-1885 is not listed on IDEAS
- Hemang Desai & K. Ramesh & S. Ramu Thiagarajan & Bala V. Balachandran, 2002. "An Investigation of the Informational Role of Short Interest in the Nasdaq Market," Journal of Finance, American Finance Association, vol. 57(5), pages 2263-2287, October.
- Michael J. Cooper & Huseyin Gulen & Michael J. Schill, 2008. "Asset Growth and the Cross‐Section of Stock Returns," Journal of Finance, American Finance Association, vol. 63(4), pages 1609-1651, August.
- Tobias J. Moskowitz & Mark Grinblatt, 1999.
"Do Industries Explain Momentum?,"
Journal of Finance, American Finance Association, vol. 54(4), pages 1249-1290, August.
- Tobias J. Moskowitz & Mark Grinblatt, "undated". "Do Industries Explain Momentum?," CRSP working papers 480, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Tobias J. Moskowitz & Mark Grinblatt, "undated". "Do Industries Explain Momentum?," CRSP working papers 352, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- repec:bla:jfinan:v:43:y:1988:i:2:p:507-28 is not listed on IDEAS
- Re‐Jin Guo & Baruch Lev & Charles Shi, 2006. "Explaining the Short‐ and Long‐Term IPO Anomalies in the US by R&D," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(3‐4), pages 550-579, April.
- Fama, Eugene F. & French, Kenneth R., 2012. "Size, value, and momentum in international stock returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 457-472.
- Palazzo, Berardino, 2012. "Cash holdings, risk, and expected returns," Journal of Financial Economics, Elsevier, vol. 104(1), pages 162-185.
- Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
- Thierry Foucault & David Sraer & David J. Thesmar, 2011.
"Individual Investors and Volatility,"
Journal of Finance, American Finance Association, vol. 66(4), pages 1369-1406, August.
- Foucault, Thierry & Thesmar, David & Sraer, David, 2008. "Individual Investors and Volatility," CEPR Discussion Papers 6915, C.E.P.R. Discussion Papers.
- Foucault, Thierry & Themar, David & Sraer, David, 2008. "Individual investors and volatility," HEC Research Papers Series 899, HEC Paris.
- Thierry Foucault & David Sraer & David Thesmar, 2011. "Individual Investors and Volatility," Post-Print hal-00630297, HAL.
- Thierry Foucault & David Thesmar & David Sraer, 2008. "Individual Investors and Volatility," Working Papers hal-00578370, HAL.
- David Hirshleifer, 2001.
"Investor Psychology and Asset Pricing,"
Journal of Finance, American Finance Association, vol. 56(4), pages 1533-1597, August.
- Hirshleifer, David, 2001. "Investor Psychology and Asset Pricing," MPRA Paper 5300, University Library of Munich, Germany.
- repec:bla:jfinan:v:44:y:1989:i:2:p:479-86 is not listed on IDEAS
- Bryan Kelly & Seth Pruitt, 2013. "Market Expectations in the Cross-Section of Present Values," Journal of Finance, American Finance Association, vol. 68(5), pages 1721-1756, October.
- Andrew Y. Chen & Tom Zimmermann, 2022.
"Open Source Cross-Sectional Asset Pricing,"
Critical Finance Review, now publishers, vol. 11(2), pages 207-264, May.
- Chen, Andrew Y. & Zimmermann, Tom, 2020. "Open source cross-sectional asset pricing," CFR Working Papers 20-04, University of Cologne, Centre for Financial Research (CFR).
- Andrew Y. Chen & Tom Zimmermann, 2021. "Open Source Cross-Sectional Asset Pricing," Finance and Economics Discussion Series 2021-037, Board of Governors of the Federal Reserve System (U.S.).
- Kewei Hou & Chen Xue & Lu Zhang, 2015. "Editor's Choice Digesting Anomalies: An Investment Approach," The Review of Financial Studies, Society for Financial Studies, vol. 28(3), pages 650-705.
- Andy C.W. Chui & Sheridan Titman & K.C. John Wei, 2010. "Individualism and Momentum around the World," Journal of Finance, American Finance Association, vol. 65(1), pages 361-392, February.
- Shihao Gu & Bryan Kelly & Dacheng Xiu, 2020.
"Empirical Asset Pricing via Machine Learning,"
The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2223-2273.
- Shihao Gu & Bryan T. Kelly & Dacheng Xiu, 2018. "Empirical Asset Pricing via Machine Learning," Swiss Finance Institute Research Paper Series 18-71, Swiss Finance Institute.
- Shihao Gu & Bryan Kelly & Dacheng Xiu, 2018. "Empirical Asset Pricing via Machine Learning," NBER Working Papers 25398, National Bureau of Economic Research, Inc.
- Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
- Fama, Eugene F. & French, Kenneth R., 2015. "A five-factor asset pricing model," Journal of Financial Economics, Elsevier, vol. 116(1), pages 1-22.
- Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006.
"The Cross‐Section of Volatility and Expected Returns,"
Journal of Finance, American Finance Association, vol. 61(1), pages 259-299, February.
- Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004. "The Cross-Section of Volatility and Expected Returns," NBER Working Papers 10852, National Bureau of Economic Research, Inc.
- Asquith, Paul & Pathak, Parag A. & Ritter, Jay R., 2005. "Short interest, institutional ownership, and stock returns," Journal of Financial Economics, Elsevier, vol. 78(2), pages 243-276, November.
- Itay Kama, 2009. "On the Market Reaction to Revenue and Earnings Surprises," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(1‐2), pages 31-50, January.
- Clifford S. Asness & Tobias J. Moskowitz & Lasse Heje Pedersen, 2013. "Value and Momentum Everywhere," Journal of Finance, American Finance Association, vol. 68(3), pages 929-985, June.
- David E. Rapach & Jack K. Strauss & Guofu Zhou, 2013. "International Stock Return Predictability: What Is the Role of the United States?," Journal of Finance, American Finance Association, vol. 68(4), pages 1633-1662, August.
- Lin, Chaonan & Xia, Chuanxin & Yang, Nien-Tzu & Yang, Sheng-Yung, 2020. "Enhancing momentum profits in the Taiwan Stock Market: The role of extreme absolute strength," Pacific-Basin Finance Journal, Elsevier, vol. 59(C).
- Jeffrey Pontiff & Artemiza Woodgate, 2008. "Share Issuance and Cross‐sectional Returns," Journal of Finance, American Finance Association, vol. 63(2), pages 921-945, April.
- Matthias M M Buehlmaier & Toni M Whited, 2018. "Are Financial Constraints Priced? Evidence from Textual Analysis," The Review of Financial Studies, Society for Financial Studies, vol. 31(7), pages 2693-2728.
- Basu, S, 1977. "Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis," Journal of Finance, American Finance Association, vol. 32(3), pages 663-682, June.
- Andrea L. Eisfeldt & Dimitris Papanikolaou, 2013.
"Organization Capital and the Cross-Section of Expected Returns,"
Journal of Finance, American Finance Association, vol. 68(4), pages 1365-1406, August.
- Dimitris Papanikolaou & Andrea Eisfeldt, 2009. "Organization Capital and the Cross-Section of Expected Returns," 2009 Meeting Papers 671, Society for Economic Dynamics.
- Michaely, Roni & Thaler, Richard H & Womack, Kent L, 1995.
"Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?,"
Journal of Finance, American Finance Association, vol. 50(2), pages 573-608, June.
- Roni Michaely & Richard H. Thaler & Kent Womack, 1994. "Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?," NBER Working Papers 4778, National Bureau of Economic Research, Inc.
- Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
- Hal R. Varian, 2014. "Big Data: New Tricks for Econometrics," Journal of Economic Perspectives, American Economic Association, vol. 28(2), pages 3-28, Spring.
- Allaudeen Hameed & Yuanto Kusnadi, 2002. "Momentum Strategies: Evidence from Pacific Basin Stock Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 25(3), pages 383-397, September.
- Fama, Eugene F & French, Kenneth R, 1996. "Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
- Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994.
"Contrarian Investment, Extrapolation, and Risk,"
Journal of Finance, American Finance Association, vol. 49(5), pages 1541-1578, December.
- Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W., 1993. "Contrarian Investment, Extrapolation, and Risk," Working Papers 84, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
- Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994. "Contrarian Investment, Extrapolation, and Risk," Scholarly Articles 30721347, Harvard University Department of Economics.
- Josef Lakonishok & Robert W. Vishny & Andrei Shleifer, 1993. "Contrarian Investment, Extrapolation, and Risk," NBER Working Papers 4360, National Bureau of Economic Research, Inc.
- Xiaohui Gao & Tse-Chun Lin, 2015. "Do Individual Investors Treat Trading as a Fun and Exciting Gambling Activity? Evidence from Repeated Natural Experiments," The Review of Financial Studies, Society for Financial Studies, vol. 28(7), pages 2128-2166.
- Jegadeesh, Narasimhan & Titman, Sheridan, 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
- Kim, Kenneth A. & Nofsinger, John R., 2008. "Behavioral finance in Asia," Pacific-Basin Finance Journal, Elsevier, vol. 16(1-2), pages 1-7, January.
- Stoll, Hans R. & Whaley, Robert E., 1983. "Transaction costs and the small firm effect," Journal of Financial Economics, Elsevier, vol. 12(1), pages 57-79, June.
- Lin, Chaonan & Ko, Kuan-Cheng & Feng, Zhi-Xiang & Yang, Nien-Tzu, 2016. "Market dynamics and momentum in the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 59-75.
- Novy-Marx, Robert, 2013. "The other side of value: The gross profitability premium," Journal of Financial Economics, Elsevier, vol. 108(1), pages 1-28.
- Chordia, Tarun & Subrahmanyam, Avanidhar & Anshuman, V. Ravi, 2001. "Trading activity and expected stock returns," Journal of Financial Economics, Elsevier, vol. 59(1), pages 3-32, January.
- Shihao Gu & Bryan Kelly & Dacheng Xiu, 2020. "Empirical Asset Pricing via Machine Learning," Review of Finance, European Finance Association, vol. 33(5), pages 2223-2273.
- Sheridan Titman & K.C. John Wei & Feixue Xie, 2009. "Capital Investments and Stock Returns in Japan," International Review of Finance, International Review of Finance Ltd., vol. 9(1‐2), pages 111-131, March.
- Balakrishnan, Karthik & Bartov, Eli & Faurel, Lucile, 2010. "Post loss/profit announcement drift," Journal of Accounting and Economics, Elsevier, vol. 50(1), pages 20-41, May.
- Park, Yung Chul, 1990. "Development Lessons from Asia: The Role of Government in South Korea and Taiwan," American Economic Review, American Economic Association, vol. 80(2), pages 118-121, May.
- Jacob Thomas & Frank X. Zhang, 2011. "Tax Expense Momentum," Journal of Accounting Research, Wiley Blackwell, vol. 49(3), pages 791-821, June.
- Frederico Belo & Jun Li & Xiaoji Lin & Xiaofei Zhao, 2017.
"Labor-Force Heterogeneity and Asset Prices: The Importance of Skilled Labor,"
The Review of Financial Studies, Society for Financial Studies, vol. 30(10), pages 3669-3709.
- Frederico Belo & Xiaoji Lin & Jun Li & Xiaofei Zhao, 2015. "Labor-Force Heterogeneity and Asset Prices: the Importance of Skilled Labor," NBER Working Papers 21487, National Bureau of Economic Research, Inc.
- Lin, Chaonan & Ko, Kuan-Cheng & Yang, Nien-Tzu, 2022. "Does the momentum gap explain momentum in Taiwan?," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
- Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
- repec:bla:jfinan:v:59:y:2004:i:2:p:623-650 is not listed on IDEAS
- Hirose, Takehide & Kato, Hideaki Kiyoshi & Bremer, Marc, 2009. "Can margin traders predict future stock returns in Japan?," Pacific-Basin Finance Journal, Elsevier, vol. 17(1), pages 41-57, January.
- Jegadeesh, Narasimhan, 1990. "Evidence of Predictable Behavior of Security Returns," Journal of Finance, American Finance Association, vol. 45(3), pages 881-898, July.
- Litzenberger, Robert H & Ramaswamy, Krishna, 1982. "The Effects of Dividends on Common Stock Prices: Tax Effects or Information Effects?," Journal of Finance, American Finance Association, vol. 37(2), pages 429-443, May.
- Kewei Hou & David T. Robinson, 2006. "Industry Concentration and Average Stock Returns," Journal of Finance, American Finance Association, vol. 61(4), pages 1927-1956, August.
- repec:bla:jfinan:v:59:y:2004:i:3:p:1345-1365 is not listed on IDEAS
- Jeremiah Green & John R. M. Hand & X. Frank Zhang, 2017. "The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 30(12), pages 4389-4436.
- Valta, Philip, 2016. "Strategic Default, Debt Structure, and Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(1), pages 197-229, February.
- David Easley & Marcos López de Prado & Maureen O’Hara & Zhibai Zhang, 2021. "Microstructure in the Machine Age," NBER Chapters, in: Big Data: Long-Term Implications for Financial Markets and Firms, pages 3316-3363, National Bureau of Economic Research, Inc.
- Du, Ding & Huang, Zhaodan & Liao, Bih-shuang, 2009. "Why is there no momentum in the Taiwan stock market?," Journal of Economics and Business, Elsevier, vol. 61(2), pages 140-152.
- Pan, Li & Tang, Ya & Xu, Jianguo, 2013. "Weekly momentum by return interval ranking," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 1191-1208.
- Loughran, Tim & Ritter, Jay R, 1995. "The New Issues Puzzle," Journal of Finance, American Finance Association, vol. 50(1), pages 23-51, March.
- Robert Novy-Marx & Mihail Velikov, 2016. "A Taxonomy of Anomalies and Their Trading Costs," The Review of Financial Studies, Society for Financial Studies, vol. 29(1), pages 104-147.
- Ou, Jane A. & Penman, Stephen H., 1989. "Financial statement analysis and the prediction of stock returns," Journal of Accounting and Economics, Elsevier, vol. 11(4), pages 295-329, November.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- Philip, R., 2020. "Estimating permanent price impact via machine learning," Journal of Econometrics, Elsevier, vol. 215(2), pages 414-449.
- Titman, Sheridan & Wei, K. C. John & Xie, Feixue, 2004.
"Capital Investments and Stock Returns,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(4), pages 677-700, December.
- Sheridan Titman & K.C. John Wei & Feixue Xie, 2003. "Capital Investments and Stock Returns," NBER Working Papers 9951, National Bureau of Economic Research, Inc.
- Evgeny Lyandres & Le Sun & Lu Zhang, 2008. "The New Issues Puzzle: Testing the Investment-Based Explanation," The Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2825-2855, November.
- Itay Kama, 2009. "On the Market Reaction to Revenue and Earnings Surprises," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(1-2), pages 31-50.
- Joel Hasbrouck, 2009. "Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data," Journal of Finance, American Finance Association, vol. 64(3), pages 1445-1477, June.
- Liu, Weimin, 2006. "A liquidity-augmented capital asset pricing model," Journal of Financial Economics, Elsevier, vol. 82(3), pages 631-671, December.
- Titman, Sheridan & John Wei, K. C., 1999. "Understanding stock market volatility: The case of Korea and Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 7(1), pages 41-66, February.
- Datar, Vinay T. & Y. Naik, Narayan & Radcliffe, Robert, 1998. "Liquidity and stock returns: An alternative test," Journal of Financial Markets, Elsevier, vol. 1(2), pages 203-219, August.
- Yufeng Han & David Lesmond, 2011. "Liquidity Biases and the Pricing of Cross-sectional Idiosyncratic Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 24(5), pages 1590-1629.
- Stock J.H. & Watson M.W., 2002. "Forecasting Using Principal Components From a Large Number of Predictors," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1167-1179, December.
- Re-Jin Guo & Baruch Lev & Charles Shi, 2006. "Explaining the Short- and Long-Term IPO Anomalies in the US by R&D," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(3-4), pages 550-579.
- Brad M. Barber & Yi-Tsung Lee & Yu-Jane Liu & Terrance Odean, 2009. "Just How Much Do Individual Investors Lose by Trading?," The Review of Financial Studies, Society for Financial Studies, vol. 22(2), pages 609-632, February.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Hsiao-Peng Fu & Shu-Fan Hsieh, 2024. "Seasonality, Monetary Supply and Taiwanese Momentum," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 14(2), pages 1-2.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Tran, Vu Le, 2023. "Sentiment and covariance characteristics," International Review of Financial Analysis, Elsevier, vol. 86(C).
- Weichuan Deng & Pawel Polak & Abolfazl Safikhani & Ronakdilip Shah, 2023. "A Unified Framework for Fast Large-Scale Portfolio Optimization," Papers 2303.12751, arXiv.org, revised Nov 2023.
- De Nard, Gianluca & Zhao, Zhao, 2022. "A large-dimensional test for cross-sectional anomalies:Efficient sorting revisited," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 654-676.
- Jiaju Miao & Pawel Polak, 2023. "Online Ensemble of Models for Optimal Predictive Performance with Applications to Sector Rotation Strategy," Papers 2304.09947, arXiv.org.
- Hediger, Simon & Michel, Loris & Näf, Jeffrey, 2022. "On the use of random forest for two-sample testing," Computational Statistics & Data Analysis, Elsevier, vol. 170(C).
- Geertsema, Paul & Lu, Helen, 2020. "The correlation structure of anomaly strategies," Journal of Banking & Finance, Elsevier, vol. 119(C).
- Gianluca De Nard & Simon Hediger & Markus Leippold, 2022. "Subsampled factor models for asset pricing: The rise of Vasa," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(6), pages 1217-1247, September.
- Andrew Y. Chen & Tom Zimmermann, 2022.
"Open Source Cross-Sectional Asset Pricing,"
Critical Finance Review, now publishers, vol. 11(2), pages 207-264, May.
- Chen, Andrew Y. & Zimmermann, Tom, 2020. "Open source cross-sectional asset pricing," CFR Working Papers 20-04, University of Cologne, Centre for Financial Research (CFR).
- Andrew Y. Chen & Tom Zimmermann, 2021. "Open Source Cross-Sectional Asset Pricing," Finance and Economics Discussion Series 2021-037, Board of Governors of the Federal Reserve System (U.S.).
- Kewei Hou & Chen Xue & Lu Zhang, 2017.
"Replicating Anomalies,"
NBER Working Papers
23394, National Bureau of Economic Research, Inc.
- Hou, Kewei & Xue, Chen & Zhang, Lu, 2017. "Replicating Anomalies," Working Paper Series 2017-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Hoang, Khoa & Huang, Ronghong & Truong, Helen, 2023. "Resurrecting the market factor: A case of data mining across international markets," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
- Hoang, Khoa & Cannavan, Damien & Gaunt, Clive & Huang, Ronghong, 2019. "Is that factor just lucky? Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
- Tobek, Ondrej & Hronec, Martin, 2021. "Does it pay to follow anomalies research? Machine learning approach with international evidence," Journal of Financial Markets, Elsevier, vol. 56(C).
- Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2020.
"Taming the Factor Zoo: A Test of New Factors,"
Journal of Finance, American Finance Association, vol. 75(3), pages 1327-1370, June.
- Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2019. "Taming the Factor Zoo: A Test of New Factors," NBER Working Papers 25481, National Bureau of Economic Research, Inc.
- Giglio, Stefano & Feng, Guanhao & Xiu, Dacheng, 2020. "Taming the Factor Zoo: A Test of New Factors," CEPR Discussion Papers 14266, C.E.P.R. Discussion Papers.
- Kristoffer Pons Bertelsen, 2022. "The Prior Adaptive Group Lasso and the Factor Zoo," CREATES Research Papers 2022-05, Department of Economics and Business Economics, Aarhus University.
- Wang, Feifei & Yan, Xuemin Sterling, 2021. "Downside risk and the performance of volatility-managed portfolios," Journal of Banking & Finance, Elsevier, vol. 131(C).
- Cederburg, Scott & O’Doherty, Michael S. & Wang, Feifei & Yan, Xuemin (Sterling), 2020. "On the performance of volatility-managed portfolios," Journal of Financial Economics, Elsevier, vol. 138(1), pages 95-117.
- Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, June.
- Yu-Chin Hsu & Hsiou-Wei Lin & Kendro Vincent, 2017. "Do Cross-Sectional Stock Return Predictors Pass the Test without Data-Snooping Bias?," IEAS Working Paper : academic research 17-A003, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Jozef Barunik & Martin Hronec & Ondrej Tobek, 2024. "Predicting the distributions of stock returns around the globe in the era of big data and learning," Papers 2408.07497, arXiv.org.
- Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2020.
"Dissecting Characteristics Nonparametrically,"
The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2326-2377.
- Joachim Freyberger & Andreas Neuhierl & Michael Weber & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 6391, CESifo.
- Joachim Freyberger & Andreas Neuhierl & Michael Weber & Michael Weber, 2018. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 7187, CESifo.
- Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," NBER Working Papers 23227, National Bureau of Economic Research, Inc.
More about this item
Keywords
Momentum; Asset pricing anomalies; Stock return predictability; Machine learning; Variable importance;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G35 - Financial Economics - - Corporate Finance and Governance - - - Payout Policy
- G40 - Financial Economics - - Behavioral Finance - - - General
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x23002494. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/pacfin .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.