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@inbook{Adell:2020,
author = {Adell, P and Dubikovskyy, V and JOUROVSKI, A and Kosowski, R and Ramakrishnan, R},
booktitle = {Machine Learning and Asset Management},
editor = {Jurczenko},
title = {Forecasting beta using machine learning and equity sentiment variables},
year = {2020}
}

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TY  - CHAP
AB  - In this chapter, we apply machine learning, fundamental equity variables and big data equity sentiment variables to forecast equity beta. We find that machine learning algorithms are better at forecasting future stock beta than linear models. Big data variables such as stock level sentiment and news volume are significant in several models in addition to other fundamental variables. The results are statistically significant.
AU  - Adell,P
AU  - Dubikovskyy,V
AU  - JOUROVSKI,A
AU  - Kosowski,R
AU  - Ramakrishnan,R
PY  - 2020///
TI  - Forecasting beta using machine learning and equity sentiment variables
T1  - Machine Learning and Asset Management
ER  -

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