Three essays on financial economics

Three essays on financial economics

Disagreement measures are known to predict cross-sectional stock returns but fail to predict market returns. This paper proposes a partial least squares disagreement index by aggregating information across individual disagreement measures and shows that this index significantly predicts market retur...

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Bibliographic Details
Main Author: LI, Jiangyuan
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2020
Subjects:
Disagreement
Return predictability
PLS
PCA
LASSO
Machine learning
Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/etd_coll/283
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1282&context=etd_coll
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/etd_coll/283
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1282&context=etd_coll

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