...Xiaojun Chu; Yating Gu Purpose This paper aims to enhance the predictability of stock returns. Existing studies have used investor sentiment to forecast stock returns. However, it is unclear whether high-frequency intraday investor sentiment can enhance the forecasting performance of low-frequency...

... wavelet transformation (MODWT) are used to decompose the original time series into two distinct sets of granular subseries. In the third stage, long- and short-term memory network (LSTM) and extreme gradient boosting (XGB) are applied to the decomposed subseries to estimate the initial forecasts. Lastly...

... key issues – improving fundamental analysis and identifying market inefficiencies with respect to financial statement information (Yohn, 2020). Improving fundamental analysis is important in order to improve forecasts of profitability and more accurate estimates of firm value. The identification...

... non-linear Taylor rule with exchange rate: (Equation 7) Model 5: forward-looking non-linear Taylor rule with exchange rate: (Equation 8) Model 6: backward-looking non-linear Taylor rule with exchange rate: (Equation 9) Monetary policy Forecasting Exchange rate Non...