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Cross-sectional stock return analysis using support vector regression

Author

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  • Jie Liu
  • Zaixia Hu
  • Shaohua Tan

Abstract

We adopt ε-Support Vector Regression, a nonlinear regression method, to analyse the relationship between stock return and explanatory factors. Computational results show ε-SVR outperforms significantly the Ordinary Least Squares linear regression with a much higher R -super-2 and a lower standard error.

Suggested Citation

  • Jie Liu & Zaixia Hu & Shaohua Tan, 2010. "Cross-sectional stock return analysis using support vector regression," Applied Economics Letters, Taylor & Francis Journals, vol. 17(1), pages 71-74, January.
    • Handle: RePEc:taf:apeclt:v:17:y:2010:i:1:p:71-74
    DOI: 10.1080/13504850701719777
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