Sökning: "Chuyue Huan"

Hittade 1 uppsats innehållade orden Chuyue Huan.

  1. 1. Empirical Asset Pricing via Machine Learning - Evidence from the Chinese stock market

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Bao Liu; Chuyue Huan; [2023]
    Nyckelord :Machine learning; Asset pricing model; Chinese stock market;

    Sammanfattning : This thesis builds upon existing research on the application of machine learning in asset pricing in the US and European stock markets, by incorporating unique predictive indicators specific to the Chinese stock market, to explore whether machine learning can also be successfully applied in the Chinese stock market. Empirical results show that machine learning models outperform OLS significantly in predicting A-share returns, and this conclusion also applies to different portfolios we have constructed. LÄS MER