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Clustering-Based Sector Investing

https://doi.org/10.2139/ssrn.4528879
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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A Sober Look at Clustering Stability
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The Elements of Statistical Learning: Data Mining, Inference, and Prediction
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Differences between COMPUSTAT and CRSP SIC codes and related effects on research
inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-snapshot
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/0304-405x(94)00798-6openalex-snapshot
Diversification's effect on firm value
inferredcites →https://doi.org/10.1016/j.econlet.2012.09.022openalex-snapshot
A Comparison of Industry Classification Schemes: A Large Sample Study
inferredcites →https://doi.org/10.1016/j.finmar.2013.08.004openalex-snapshot
Industry-based style investing
inferredcites →https://doi.org/10.1016/j.is.2015.04.007openalex-snapshot
Time-series clustering – A decade review
inferredcites →https://doi.org/10.1016/j.jacceco.2012.05.002openalex-snapshot
Analysts' industry expertise
inferredcites →https://doi.org/10.1016/j.jbankfin.2020.105934openalex-snapshot
The Correlation Structure of Anomaly Strategies
inferredcites →https://doi.org/10.1016/j.jfineco.2014.10.010openalex-snapshot
A five-factor asset pricing model
inferredcites →https://doi.org/10.1016/j.jfineco.2019.06.008openalex-snapshot
Shrinking the cross-section
inferredcites →https://doi.org/10.1016/s0304-405x(96)00896-3openalex-snapshot
Industry costs of equity
inferredcites →https://doi.org/10.1017/s0022109014000404openalex-snapshot
Industries and Stock Return Reversals
inferredcites →https://doi.org/10.1017/s0022109018000479openalex-snapshot
Text-Based Industry Momentum
inferredcites →https://doi.org/10.1017/s0022109022001028openalex-snapshot
Uncovering Sparsity and Heterogeneity in Firm-Level Return Predictability Using Machine Learning
inferredcites →https://doi.org/10.1046/j.1475-679x.2003.00122.xopenalex-snapshot
What's My Line? A Comparison of Industry Classification Schemes for Capital Market Research
inferredcites →https://doi.org/10.1057/jam.2014.37openalex-snapshot
Mean-reversion and optimization
inferredcites →https://doi.org/10.1080/01621459.2016.1195743openalex-snapshot
Clustering Huge Number of Financial Time Series: A Panel Data Approach With High-Dimensional Predictors and Factor Structures
inferredcites →https://doi.org/10.1086/260061openalex-snapshot
Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1086/296449openalex-snapshot
SICs as Delineators of Economic Markets
inferredcites →https://doi.org/10.1086/688176openalex-snapshot
Text-Based Network Industries and Endogenous Product Differentiation
inferredcites →https://doi.org/10.1093/rapstu/ras004openalex-snapshot
Mutual Fund Industry Selection and Persistence
inferredcites →https://doi.org/10.1093/rfs/hhaa009openalex-snapshot
Empirical Asset Pricing via Machine Learning
inferredcites →https://doi.org/10.1093/rfs/hhaa020openalex-snapshot
Factors That Fit the Time Series and Cross-Section of Stock Returns
inferredcites →https://doi.org/10.1093/rfs/hhj020openalex-snapshot
Pairs Trading: Performance of a Relative-Value Arbitrage Rule
inferredcites →https://doi.org/10.1093/rfs/hhw020openalex-snapshot
Industry Window Dressing
inferredcites →https://doi.org/10.1093/rfs/hhz123openalex-snapshot
Dissecting Characteristics Nonparametrically
inferredcites →https://doi.org/10.1111/0022-1082.00146openalex-snapshot
Do Industries Explain Momentum?
inferredcites →https://doi.org/10.1111/j.1540-6261.1992.tb04398.xopenalex-snapshot
The Cross-Section of Expected Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2011.01671.xopenalex-snapshot
Presidential Address: Discount Rates
inferredcites →https://doi.org/10.1111/joes.12532openalex-snapshot
Asset Pricing and Machine Learning: A critical review
inferredcites →https://doi.org/10.1111/jofi.13477openalex-snapshot
Forest through the Trees: Building Cross‐Sections of Stock Returns
inferredcites →https://doi.org/10.1146/annurev-financial-101521-104735openalex-snapshot
Factor Models, Machine Learning, and Asset Pricing
inferredcites →https://doi.org/10.1177/0148558x0902400104openalex-snapshot
Using Industry Classification Codes to Sample High-Technology Firms: Analysis and Recommendations
inferredcites →https://doi.org/10.1287/mnsc.2016.2477openalex-snapshot
The Comovement of Investor Attention
inferredcites →https://doi.org/10.1506/n57l-0462-856v-7144openalex-snapshot
The North American Industry Classification System and Its Implications for Accounting Research*
inferredcites →https://doi.org/10.21314/jor.2012.255openalex-snapshot
The Sharpe ratio efficient frontier
inferredcites →https://doi.org/10.2139/ssrn.141615openalex-snapshot
Pairs Trading: Performance of a Relative Value Arbitrage Rule
inferredcites →https://doi.org/10.2139/ssrn.1520062openalex-snapshot
Text-Based Network Industries and Endogenous Product Differentiation
inferredcites →https://doi.org/10.2139/ssrn.227828openalex-snapshot
Does Diversification Cause the 'Diversification Discount'?
inferredcites →https://doi.org/10.2139/ssrn.2820700openalex-snapshot
Dissecting Characteristics Nonparametrically
inferredcites →https://doi.org/10.2139/ssrn.3211106openalex-snapshot
Factors That Fit the Time Series and Cross-Section of Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.3696027openalex-snapshot
Factor Clustering with t-SNE
inferredcites →https://doi.org/10.2139/ssrn.4214621openalex-snapshot
Partitioning the Cross-Section of Stocks: The Economic Value of Statistical Clusters
inferredcites →https://doi.org/10.2139/ssrn.4479346openalex-snapshot
A New Model Every Month? — Dynamic Model Selection for Stock Return Prediction
inferredcites →https://doi.org/10.2139/ssrn.871173openalex-snapshot
The Impact of Industry Classification Schemes on Financial Research
inferredcites →https://doi.org/10.2307/2331394openalex-snapshot
The Impact of Industry Classifications on Financial Research
inferredcites →https://doi.org/10.2308/accr.2004.79.4.1119openalex-snapshot
The Influence of Analysts, Institutional Investors, and Insiders on the Incorporation of Market, Industry, and Firm-Specific Information into Stock Prices
inferredcites →https://doi.org/10.2469/faj.v63.n6.4927openalex-snapshot
Industry Classifications and Return Comovement

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Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.1007/978-3-032-30044-7_5openalex-snapshot
Dynamic Factor Structure in Taiwan’s Electronics Sector Clusters
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