Sorting out the financials: Making economic sense out of statistical factors
I Lončarski, L Vidovič - Finance Research Letters, 2019 - Elsevier
In this paper we explore systematic and efficient use of a large amount of financial statement
data most often used by financial analysts for the valuation purposes in terms of relative …
data most often used by financial analysts for the valuation purposes in terms of relative …
[BOOK][B] Portfolio allocations using fundamental ratios: are profitability measures effective in selecting firms and sectors?
JC Hughen, J Strauss - 2019 - researchgate.net
The authors applied out-of-sample sector forecasts with firm fundamentals ratios to form real-
time portfolio allocation strategies. Results documented the importance of profitability …
time portfolio allocation strategies. Results documented the importance of profitability …
Analysts, Fundamentals, and Portfolio Selection: a Machine Learning Approach
A large body of literature has tried to identify the relative information contributions of different
characteristics-jointly or in isolation-to the cross-section of stock returns. These …
characteristics-jointly or in isolation-to the cross-section of stock returns. These …