Noisy market, machine learning and fundamental momentum

IF 4.8 2区 经济学 Q1 BUSINESS, FINANCE
Tian Ma , Haoyun Sheng , Yuejie Wang
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引用次数: 0

Abstract

We employ machine to learn the continuous fundamental information and elucidate the fundamental momentum in the noisy Chinese stock market. We extract fundamental implied component from realized returns and sort stocks with the trend of implied parts. The high-dimensional fundamental momentum significantly differentiates from its predecessor, yielding an annualized return of 13.8%. Underreaction in investors helps explain the strategy, as it generates stronger profit during periods of low investor sentiment and in subsamples with high idiosyncratic volatility. The retail investors in China are prone to distort the presentation of momentum. Fundamental momentum is robust in the U.S. samples, different training windows and alternative machine learning algorithms.

嘈杂的市场、机器学习和基本动力
我们利用机器学习连续的基本面信息,并在嘈杂的中国股市中阐明基本面动量。我们从已实现收益中提取基本面隐含部分,并根据隐含部分的趋势对股票进行排序。高维基本面动量与前者相比差异显著,年化收益率达到 13.8%。投资者反应不足有助于解释该策略,因为它在投资者情绪低落时期和特异性波动较高的子样本中产生了更强的收益。中国的散户投资者容易扭曲动量的表现形式。在美国样本、不同的训练窗口和其他机器学习算法中,基本面动量都是稳健的。
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来源期刊
Pacific-Basin Finance Journal
Pacific-Basin Finance Journal BUSINESS, FINANCE-
CiteScore
6.80
自引率
6.50%
发文量
157
期刊介绍: The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.
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