Environmental Sustainability and Stock Returns *
A 2022 paper by Brown and co-authors on machine learning return prediction in equities, using a transformer: the abstract mentions alpha and leaves out a benchmark, an out-of-sample test, transaction costs, multiple testing and the size of the universe.
“A long-short portfolio that longs stocks with high forecasted returns and sells stocks with low forecasted returns earns large abnormal returns, and it performs better when climate concerns in the media are more intense.”
AssetEquities
StrategyMachine learning
TechniqueTransformer
ClaimAlpha
Also stated: Long-short
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMachine learning return prediction by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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