Extending the explanatory power of factor pricing models using topic modeling

Extending the explanatory power of factor pricing models using topic modeling

Factor models attribute stock returns to a linear combination of factors. A model with great explanatory power (R2) can be used to estimate the systematic risk of an investment. One of the most important factors is the industry which the company of the stock operates in. In commercial risk models th...

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Bibliographic Details
Main Author: Everling, Nils
Format: Others
Language:English
Published: KTH, Skolan för datavetenskap och kommunikation (CSC) 2017
Subjects:
topic modeling
nlp
nmf
nonnegative matrix factorization
earnings call
transcript
risk
apt
factor model
gics
global industry classification standard
msci
industry
portfolio management
stock market
equities
Computer Sciences
Datavetenskap (datalogi)
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-210253

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-210253

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