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Expected Investment and Stock Returns: A Machine Learning Approach

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

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Over-investment of free cash flow
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The effect of personal taxes and dividends on capital asset prices
inferredcites →https://doi.org/10.1016/0304-405x(95)00842-3openalex-snapshot
Leverage, investment, and firm growth
inferredcites →https://doi.org/10.1016/j.jacceco.2009.09.001openalex-snapshot
How Does Financial Reporting Quality Relate to Investment Efficiency
inferredcites →https://doi.org/10.1016/j.jfineco.2005.09.009openalex-snapshot
Profitability, investment and average returns
inferredcites →https://doi.org/10.1016/j.jfineco.2011.03.024openalex-snapshot
Limits-to-arbitrage, investment frictions, and the asset growth anomaly
inferredcites →https://doi.org/10.1016/j.jfineco.2011.12.001openalex-snapshot
The short of it: Investor sentiment and anomalies
inferredcites →https://doi.org/10.1016/j.jfineco.2013.01.003openalex-snapshot
The other side of value: The gross profitability premium
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.2015.02.004openalex-snapshot
Deflating profitability
inferredcites →https://doi.org/10.1016/j.jfineco.2016.03.002openalex-snapshot
Accruals, cash flows, and operating profitability in the cross section of stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2018.01.005openalex-snapshot
The 52-week high, q-theory, and the cross section of stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2018.02.012openalex-snapshot
Choosing factors
inferredcites →https://doi.org/10.1016/j.jfineco.2019.05.001openalex-snapshot
Characteristics are covariances: A unified model of risk and return
inferredcites →https://doi.org/10.1016/j.jfineco.2019.06.008openalex-snapshot
Shrinking the cross-section
inferredcites →https://doi.org/10.1016/j.jmoneco.2014.07.003openalex-snapshot
A neoclassical interpretation of momentum
inferredcites →https://doi.org/10.1016/j.jmoneco.2020.03.016openalex-snapshot
Aggregate expected investment growth and stock market returns
inferredcites →https://doi.org/10.1017/s0022109011000445openalex-snapshot
New Evidence on the Relation between the Enterprise Multiple and Average Stock Returns
inferredcites →https://doi.org/10.1017/s0022109011000561openalex-snapshot
On the Scope and Drivers of the Asset Growth Effect
inferredcites →https://doi.org/10.1023/a:1010933404324openalex-snapshot
Random Forests
inferredcites →https://doi.org/10.1080/0015198x.2024.2313692openalex-snapshot
Fundamental Analysis via Machine Learning
inferredcites →https://doi.org/10.1086/649760openalex-snapshot
Investment‐Based Expected Stock Returns
inferredcites →https://doi.org/10.1093/rfs/3.1.115openalex-snapshot
The Stock Market and Investment
inferredcites →https://doi.org/10.1093/rfs/hhaa009openalex-snapshot
Empirical Asset Pricing via Machine Learning
inferredcites →https://doi.org/10.1093/rfs/hhac085openalex-snapshot
Man versus Machine Learning: The Term Structure of Earnings Expectations and Conditional Biases
inferredcites →https://doi.org/10.1093/rfs/hhm014openalex-snapshot
A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
inferredcites →https://doi.org/10.1093/rfs/hhp031openalex-snapshot
Financial Constraints, Investment, and the Value of Cash Holdings
inferredcites →https://doi.org/10.1093/rfs/hhu068openalex-snapshot
Digesting Anomalies: An Investment Approach
inferredcites →https://doi.org/10.1093/rfs/hhy131openalex-snapshot
Replicating Anomalies
inferredcites →https://doi.org/10.1093/rfs/hhz091openalex-snapshot
Aggregation, Capital Heterogeneity, and the Investment CAPM
inferredcites →https://doi.org/10.1093/rof/rfaa004openalex-snapshot
An Augmented q -Factor Model with Expected Growth
inferredcites →https://doi.org/10.1093/rof/rft034openalex-snapshot
Firm Expansion and Stock Price Momentum
inferredcites →https://doi.org/10.1093/rof/rfv033openalex-snapshot
Asset Growth and Idiosyncratic Return Volatility
inferredcites →https://doi.org/10.1111/eufm.12129openalex-snapshot
The Investment CAPM
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00695.xopenalex-snapshot
The 52‐Week High and Momentum Investing
inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00725.xopenalex-snapshot
The Value Premium
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01370.xopenalex-snapshot
Asset Growth and the Cross‐Section of Stock Returns
inferredcites →https://doi.org/10.1111/jmcb.12360openalex-snapshot
What Moves Investment Growth?
inferredcites →https://doi.org/10.1111/jofi.12883openalex-snapshot
Taming the Factor Zoo: A Test of New Factors
inferredcites →https://doi.org/10.1111/rssb.12377openalex-snapshot
Visualizing the Effects of Predictor Variables in Black Box Supervised Learning Models
inferredcites →https://doi.org/10.1201/9781315139470openalex-snapshot
Classification And Regression Trees
inferredcites →https://doi.org/10.1287/mnsc.2018.3036openalex-snapshot
Asset Growth, Profitability, and Investment Opportunities
inferredcites →https://doi.org/10.2307/1912538openalex-snapshot
Tobin's Marginal q and Average q: A Neoclassical Interpretation
inferredcites →https://doi.org/10.2307/2534506openalex-snapshot
The Stock Market and Investment: Is the Market a Sideshow?
inferredcites →https://doi.org/10.2307/2937862openalex-snapshot
The Growth and Failure of U. S. Manufacturing Plants
inferredcites →https://doi.org/10.2308/accr.00000011openalex-snapshot
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