第510期岭南学术论坛(金融学系列Seminar)

发布人:李义华 发布日期:2018-11-05
活动时间
-
活动地址
岭南堂汪道涵会议室

报告题目:What can we learn from machine forecasting error?

人:申睿(香港中文大学 副教授)

人:戴芸(中山大学岭南学院 助理教授)

      间: 2018119日(周五)下午16:00-17:30

      点:岭南堂汪道涵会议室

     言: 中文+英文

 

Abstract:

In this study, we utilize four popular machine learning algorithms to generate earnings forecasts for each firm. We find statistically significant associations between ex post machine forecasting errors and existing public information (input variables) such as Tobin’s Q, accruals, past stock returns, past return volatility and past forecasting errors. These associations are qualitatively and quantitatively similar to those documented in sell-side financial analyst forecasting errors. Our evidence regarding machine forecasting errors cannot be explained by popular theories proposed to explain analyst forecasting errors such as agency incentives or cognitive bias. We provide evidence consistent with an estimation uncertainty explanation.

 

报告人介绍:

http://sme.cuhk.edu.cn/zh-hans/content/7554

 

 

 

 

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