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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Format: | Others |
Language: | English |
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KTH, Skolan för datavetenskap och kommunikation (CSC)
2017
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Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-210253 |