Daniel Metko

University of Bremen

Max-von-Laue-Straße 1

Bremen, DE 28359

Germany

http://www.fiwi.uni-bremen.de

SCHOLARLY PAPERS

4

DOWNLOADS
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Top 44,325

in Total Papers Downloads

2,447

TOTAL CITATIONS

18

Scholarly Papers (4)

1.

Machine Learning Goes Global: Cross-Sectional Return Predictability in International Stock Markets

Number of pages: 54 Posted: 28 Jun 2022 Last Revised: 16 Mar 2023
Fordham university, University of Applied Sciences Bremen - School of International Business Bremen, University of Bremen and MBS School of Business
Downloads 1,623 (24,543)
Citation 11

Abstract:

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machine learning, return predictability, international stock markets, the cross-section of stock returns, forecast combination, asset pricing, firm size

2.

Do Anomalies Really Predict Market Returns? New Data and New Evidence

Review of Finance, Forthcoming
Number of pages: 48 Posted: 01 Sep 2023
Fordham university, University of Applied Sciences Bremen - School of International Business Bremen, University of Bremen and MBS School of Business
Downloads 428 (148,418)
Citation 4

Abstract:

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equity anomalies, return predictability, machine learning, international stock markets, equity premium

3.

Cross-Country Factor Momentum

Economics Letters, 2024, vol. 235, 111552
Number of pages: 9 Posted: 11 Apr 2024
Christian Fieberg, Daniel Metko and Adam Zaremba
University of Applied Sciences Bremen - School of International Business Bremen, University of Bremen and MBS School of Business
Downloads 396 (162,150)
Citation 3

Abstract:

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factor momentum, equity anomalies, return predictability, factor timing, international stock markets

4.

Predicting Returns with Machine Learning Across Horizons, Firms Size, and Time

The Journal of Financial Data Science, Fall 2023, 5 (4) 119 - 144 DOI: 10.3905/jfds.2023.1.139
Posted: 28 Aug 2023
Fordham university, University of Applied Sciences Bremen - School of International Business Bremen, University of Bremen and MBS School of Business

Abstract:

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machine learning, return predictability, the cross-section of stock returns, asset pricing, firm size, equity anomalies, long-short portfolios, long-run returns