Can Combination Forecasts with Dimensionality Reduction Data Improve the Prediction Performance of Stock Excess Returns?

Can Combination Forecasts with Dimensionality Reduction Data Improve the Prediction Performance of Stock Excess Returns?

Zheng YANG, Haocheng WU, Jing ZHANG, Yongkai MA

China Journal of Econometrics ›› 2023, Vol. 3 ›› Issue (3) : 828-847.

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中国科学院数学与系统科学研究院期刊网

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China Journal of Econometrics ›› 2023, Vol. 3 ›› Issue (3) : 828-847. DOI: 10.12012/CJoE2022-0099

Can Combination Forecasts with Dimensionality Reduction Data Improve the Prediction Performance of Stock Excess Returns?

Zheng YANG*(), Haocheng WU(), Jing ZHANG(), Yongkai MA()

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{{article.zuoZheEn_L}}. {{article.title_en}}. China Journal of Econometrics, 2023, 3(3): 828-847 https://doi.org/10.12012/CJoE2022-0099

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