Deep Learning for Forecasting Stock Returns in the Cross-Section

Many studies have been undertaken by using machine learning techniques, including neural networks, to predict stock returns. Recently, a method known as deep learning, which achieves high performance mainly in image recognition and speech recognition, has attracted attention in the machine learning field. This paper implements deep learning to predict one-month-ahead stock returns in the cross-section in the Japanese stock market and investigates the performance of the method. Our results show that deep neural networks generally outperform shallow neural networks, and the best networks also outperform representative machine learning models. These results indicate that deep learning shows promise as a skillful machine learning method to predict stock returns in the cross-section.Comment: 12 pages, 2 figures, 8 tables, accepted at PAKDD 201

Occupation, smoking, and chronic obstructive respiratory disorders: a cross sectional study in an industrial area of Catalonia, Spain

BACKGROUND: Few studies have investigated the independent effects of occupational exposures and smoking on chronic bronchitis and airflow obstruction. We assessed the association between lifetime occupational exposures and airflow obstruction in a cross-sectional survey in an urban-industrial area of Catalonia, Spain. METHODS: We interviewed 576 subjects of both sexes aged 20–70 years (response rate 80%) randomly selected from census rolls, using the ATS questionnaire. Forced spirometry was performed by 497 subjects according to ATS normative. RESULTS: Lifetime occupational exposure to dust, gases or fumes was reported by 52% of the subjects (63% in men, 41% in women). Textile industry was the most frequently reported job in relation to these exposures (39%). Chronic cough, expectoration and wheeze were more prevalent in exposed subjects with odds ratios ranging from 1.7 to 2.0 being highest among never-smokers (2.1 to 4.3). Lung function differences between exposed and unexposed subjects were dependent on duration of exposure, but not on smoking habits. Subjects exposed more than 15 years to dusts, gases or fumes had lower lung function values (FEV(1 )-80 ml, 95% confidence interval (CI) -186 to 26; MMEF -163 ml, CI -397 to 71; FEV(1)/FVC ratio -1.7%, CI -3.3 to -0.2) than non-exposed. CONCLUSION: Chronic bronchitis symptoms and airflow obstruction are associated with occupational exposures in a population with a high employment in the textile industry. Lung function impairment was related to the duration of occupational exposure, being independent of the effect of smoking

Gender and respiratory findings in workers occupationally exposed to organic aerosols: A meta analysis of 12 cross-sectional studies

<p>Abstract</p> <p>Background</p> <p>Gender related differences in respiratory disease have been documented. The aim of this study was to investigate gender related differences in respiratory findings by occupation. We analyzed data from 12 of our previously published studies.</p> <p>Methods</p> <p>Three thousand and eleven (3011) workers employed in "organic dust" industries (1379 female and 1632 male) were studied. A control group of 806 workers not exposed to any kind of dust were also investigated (male = 419, female = 387). Acute and chronic respiratory symptoms and lung function were measured. The weighted average method and the Mantel-Haentszel method were used to calculate the odds ratios of symptoms. Hedge's unbiased estimations were used to measure lung function differences between men and women.</p> <p>Results</p> <p>There were high prevalences of acute and chronic respiratory symptoms in all the "dusty" studied groups compared to controls. Significantly less chronic cough, chronic phlegm as well as chronic bronchitis were found among women than among men after the adjustments for smoking, age and duration of employment. Upper respiratory tract symptoms by contrast were more frequent in women than in men in these groups. Significant gender related lung function differences occurred in the textile industry but not in the food processing industry or among farmers.</p> <p>Conclusion</p> <p>The results of this study suggest that in industries processing organic compounds there are gender differences in respiratory symptoms and lung function in exposed workers. Whether these findings represent true physiologic gender differences, gender specific workplace exposures or other undefined gender variables not defined in this study cannot be determined. These data do not suggest that special limitations for women are warranted for respiratory health reasons in these industries, but the issue of upper respiratory irritation and disease warrants further study.</p

International equity portfolio investment and enforcement of insider trading laws: a cross-country analysis

In this study, we examine the effects of stringent insider trading laws’ enforcement, institutions and stock market development on international equity portfolio allocation using data from 44 countries over the period 2001-2015. Our results suggest that stringent insider trading laws and their enforcement exert a positive and significant impact on international portfolio investment allocation. Further analysis indicates that the interaction between a country’s institutional quality, stock market development and enforcement of insider trading laws have a positive and significant effect on international equity portfolio allocation. The findings of this study have implications for the design of portfolio investment trading strategies and contribute to the literature on foreign equity investment decisions

Growth of aggregate corporate earnings and cash-flows: Persistence and determinants

Consistent with economic intuition and the intuition behind momentum strategies for market timing and sector rotation based on accrual earnings (AE), we find persistence in AE growth rates at the market and industry levels in the short run, and neither persistence nor mean reversion at both levels in the long run. Forecasted industrial production, GDP growth, term premium and default premium exhibit predictive power for short- but not long-term AE growth rates at the market level, and capital intensity and product type exhibit predictive power for both short- and long-term AE growth rates at the industry level. In contrast for

Earnings forecasts and idiosyncratic volatilities

We test the theoretical relation between idiosyncratic return volatilities and the volatilities of cash-flow news based on the expected returns on equity (ROE) for CRSP stocks over the period 1977-2008. Consistent with economic intuition, we find that using analyst forecasts of earnings is superior to using realized earnings to proxy for market expectations about future cash flow news. Our findings are consistent with a market where stock return volatilities are positively and asymmetrically related to changes in the volatilities of expectations for a fundamental driver of cash flow news (ROE). Our findings are robust after correcting for forecast biases, vario