Do the FAMA and FRENCH Five-Factor model forecast well using ANN?

Forecasting the stock returns in the emerging markets is challenging due to their peculiar characteristics. These markets exhibit linear as well as nonlinear features and Conventional forecasting methods partially succeed in dealing with the nonlinear nature of stock returns. Contrarily, Artificial...

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Bibliographic Details
Main Authors: Muhammad Naveed Jan, Usman Ayub
Format: Article
Language:English
Published: Vilnius Gediminas Technical University 2019-02-01
Series:Journal of Business Economics and Management
Subjects:
Online Access:https://journals.vgtu.lt/index.php/JBEM/article/view/8250