Three essays on financial economics

• المؤلف الرئيسي: LI, Jiangyuan
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2020
• الموضوعات: Disagreement; Return predictability; PLS; PCA; LASSO; Machine learning; Finance; Finance and Financial Management
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/etd_coll/283; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1282&context=etd_coll

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...