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The Virtue of Complexity in Return Prediction

Bryan Kelly - ; Semyon Malamud - ; Kangying Zhou - ;

Much of the extant literature predicts market returns with “simple” models that use only a few parameters. Contrary to conventional wisdom, we theoretically prove that simple models severely understate return predictability compared to “complex” models in which the number of parameters exceeds the number of observations. We empirically document the virtue of complexity in U.S. equity market return prediction. Our findings establish the rationale for modeling expected returns through machine learning.


Ketersediaan

Call NumberLocationAvailable
PSB lt.2 - Karya Akhir (Koleksi Majalah)1
PenerbitUSA: The American Finance Association 2024
EdisiVolume 79, Issue 1, February 2024, Pages 459-503
SubjekMarket return
Equity market timing
Return Predictability
ISBN/ISSN1540-6261
KlasifikasiNONE
Deskripsi Fisikill, chart, table, grafik, 788 hal, 20 cm
Info Detail SpesifikThe Journal of Finance
Other Version/RelatedTidak tersedia versi lain
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  • The Virtue of Complexity in Return Prediction

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