Machine learning to establish proxies for investor attention: evidence of improved stock-return prediction
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DOI: 10.1007/s10479-022-04892-0
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Cited by:
- Chu, Gang & Dowling, Michael & Shen, Dehua & Zhang, Yongjie, 2023. "Information demand density matters: Evidence from the post-earnings announcement drift," International Review of Financial Analysis, Elsevier, vol. 86(C).
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Keywords
Investor attention; Equity premia; Principal component analysis; Partial least square; Random forest; Gradient boosting decision tree; Return predictability;All these keywords.
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