Firm Characteristics and the Cross-Sectional Variation in Post-Earnings Announcement Drift
“The LGBM model (interchangeably referred to as the gradient boosted or machine learning model) substantially outperforms the linear baseline (interchangeably referred to as the OLS model or ridge regression model, R^2 of-0.0003), indicating that the predictive relationships are fundamentally nonlinear.”
AssetEquities
StrategyEvent-driven strategiesmomentum
TechniqueTree ensemblelinear factor model
GeographyUS
Also stated: Daily, 2004–2023, Alpha, Excess return, t-statistic, Long-short, Fundamentals, out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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FamilyEvent-driven strategies52Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 950
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