2023
DOI: 10.1108/jfra-02-2023-0076
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Relative informative power and stock return predictability: a new perspective from Egypt

Enas Hendawy,
David G. McMillan,
Zaki M. Sakr
et al.

Abstract: Purpose This paper aims to introduce a new perspective on long-term stock return predictability by focusing on the relative (individual and hybrid) informative power of a wide range of accounting (firm-related), technical and macroeconomic factors while considering the past performance of the stocks using machine learning algorithms. Design/methodology/approach The sample includes a panel data set of 94 non-financial firms listed in Egyptian Exchange 100 index from 2014: Q1 to 2019: Q4. Relativity has been i… Show more

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