Industry return predictability: A machine learning approach

• Main Authors: RAPACH, David E., STRAUSS, Jack K., TU, Jun, ZHOU, Guofu
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2019
• Subjects: Big data/machine learning; analysis of individual factors/risk premia; portfolio construction; performance measurement; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/7672; https://ink.library.smu.edu.sg/context/lkcsb_research/article/8671/viewcontent/Industry_Return_Predictability_A_Machine.pdf
• Institution: Singapore Management University

In this article, the authors use machine learning tools to analyze industry return predictability based on the information in lagged industry returns. Controlling for post-selection inference and multiple testing, they find significant in-sample evidence of industry return predictability. Lagged ret...