Fundamental Analysis and the Cross-Section of Stock Returns: A Data-Mining Approach
Fundamental Analysis and the Cross-Section of Stock Returns: A Data-Mining Approach
Xuemin Yan,Lingling Zheng
2017 · DOI: 10.1093/RFS/HHX001
171 Citations
TLDR
It is found that many fundamental signals are significant predictors of cross-sectional stock returns even after accounting for data mining, and these signals are more pronounced following high-sentiment periods and among stocks with greater limits to arbitrage.
