The Fama 3 and Fama 5 factor models under a machine learning framework
Periklis Gogas (),
Theophilos Papadimitriou () and
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Dimitrios Karagkiozis: Department of Economics, Democritus University of Thrace, Greece
Working Paper series from Rimini Centre for Economic Analysis
We examine four empirical models which are popular in money and stock markets world. These models are Fama – French 3 & 5 factors model, the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT) model. These tools are intensively used by investors and market professionals as an important part of the investment decision process and for the evaluation of the applied investment strategies. The last years, several surveys and studies have done, and various methodologies were implemented to evaluate the effectiveness of these four models. The methodological approach of the current thesis focuses on the Support Vector Regression (SVR). This method is running in comparison with the Ordinary Least Squares linear regression.
Keywords: stock markets; stock returns; machine learning; support vector regression (search for similar items in EconPapers)
JEL-codes: F31 F37 C45 C5 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-big and nep-fmk
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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:18-05
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