Cross-sectional stock return analysis using support vector regression

Jie Liu, Zaixia Hu and Shaohua Tan

Applied Economics Letters, 2010, vol. 17, issue 1, 71-74

Abstract: We adopt ε-Support Vector Regression, a nonlinear regression method, to analyse the relationship between stock return and explanatory factors. Computational results show ε-SVR outperforms significantly the Ordinary Least Squares linear regression with a much higher R -super-2 and a lower standard error.

Date: 2010
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DOI: 10.1080/13504850701719777

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