Sökning: "historical performance of fundamental signals"
Hittade 2 uppsatser innehållade orden historical performance of fundamental signals.
1. Can Machine Be a Good Stock Picker?: Bridging the Gap between Fundamental Data and Machine Learning
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : We investigate the efficacy of historical accounting data and consensus forecasts for relative valuation of stocks, employing tree-based machine learning methods. We run an XGBoost model for monthly cross-sections of financial and pricing data of US equities from 1984 to 2021. LÄS MER
2. A Value Relevant Fundamental Investment Strategy : The use of weighted fundamental signals to improve predictability
Kandidat-uppsats, Företagsekonomiska institutionenSammanfattning : The aim of this study is to investigate the possibility to improve the investment model defined in Piotroski (2000) and the subsequent research carried out on this model. Our model builds further upon the original fundamental score put forth by Piotroski. LÄS MER