The Fama 3 and Fama 5 factor models under a machine learning framework
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References listed on IDEAS
- Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
- 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.
- Fama, Eugene F & French, Kenneth R, 1996. " The CAPM Is Wanted, Dead or Alive," Journal of Finance, American Finance Association, vol. 51(5), pages 1947-1958, December.
- Vasilios Plakandaras & Theophilos Papadimitriou & Periklis Gogas & Konstantinos Diamantaras, 2014. "Market Sentiment and Exchange Rate Directional Forecasting," Working Paper series 37_14, Rimini Centre for Economic Analysis.
- Eugene F. Fama & Kenneth R. French, 2004. "The Capital Asset Pricing Model: Theory and Evidence," Journal of Economic Perspectives, American Economic Association, vol. 18(3), pages 25-46, Summer.
- Bartholdy, Jan & Peare, Paula, 2005. "Estimation of expected return: CAPM vs. Fama and French," International Review of Financial Analysis, Elsevier, vol. 14(4), pages 407-427.
More about this item
Keywordsstock markets; stock returns; machine learning; support vector regression;
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2018-03-05 (All new papers)
- NEP-BIG-2018-03-05 (Big Data)
- NEP-FMK-2018-03-05 (Financial Markets)
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