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Which fundamental factors proxy for share returns? : An application of the multi self-organising maps in share pricing

Li, Bob and Boo, Yee Ling 2012, Which fundamental factors proxy for share returns? : An application of the multi self-organising maps in share pricing, in Multidisciplinary computational intelligence techniques : applications in business, engineering, and medicine, Information Science Reference, Hershey Pa., pp.1-11.

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Title Which fundamental factors proxy for share returns? : An application of the multi self-organising maps in share pricing
Author(s) Li, Bob
Boo, Yee Ling
Title of book Multidisciplinary computational intelligence techniques : applications in business, engineering, and medicine
Editor(s) Ali, Shawkat
Abbadeni, Noureddine
Batouche, Mohamed
Publication date 2012
Chapter number 1
Total chapters 21
Start page 1
End page 11
Total pages 11
Publisher Information Science Reference
Place of Publication Hershey Pa.
Keyword(s) premiums
shares
average returns
Summary It is widely accepted that the presence of some of the firm’s attributes or characteristics attracting premiums
in terms of average returns is pervasive and not restricted to a few individual markets. However, the
way to derive these premiums by sorting firms based on their characteristics that are known associated
with share returns is not without controversy. This chapter takes a different approach by adopting a novel
Multi Self-Organising Maps to cluster shares first and then identify fundamental factors afterwards. It
finds that firm’s size and book-to-market ratio attributes do have explanatory power over share average
returns. There is also lack of evidence for other factors in explaining the share average returns.
ISBN 9781466618305
9781466618312
9781466618329
Language eng
Field of Research 150201 Finance
080108 Neural, Evolutionary and Fuzzy Computation
080109 Pattern Recognition and Data Mining
Socio Economic Objective 970108 Expanding Knowledge in the Information and Computing Sciences
HERDC Research category B1 Book chapter
Copyright notice ©2012, IGI Global.
Persistent URL http://hdl.handle.net/10536/DRO/DU:30045983

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