The value premium and uncertainty: An approach by support vector regression algorithm

Risk premium plays an important role in stock investing. Experiments have shown that value stocks typically have a higher average return than growth stocks; however, this effect persists indefinitely, even disappearing in some stages. Some studies suggested high volatility in the series of returns,...

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Bibliographic Details
Published in:Cogent economics & finance Vol. 11; no. 1; pp. 1 - 15
Main Authors: Khoa, Bui Thanh, Huynh, Tran Trong
Format: Journal Article
Language:English
Published: Abingdon Taylor & Francis 31.12.2023
Cogent
Taylor & Francis Ltd
Taylor & Francis Group
Subjects:
Algorithms
Behavior
Behavioral economics
book value
Capital assets
D81
Economic crisis
Experiments
Forecasting
Growth stocks
International finance
Machine learning
Risk
risk premium
Risk premiums
Stock exchanges
Stocks
SVR
Uncertainty
Value
Value premium
Value stocks
Volatility
ISSN:2332-2039, 2332-2039
Online Access:Get full text
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Summary:Risk premium plays an important role in stock investing. Experiments have shown that value stocks typically have a higher average return than growth stocks; however, this effect persists indefinitely, even disappearing in some stages. Some studies suggested high volatility in the series of returns, broken structures, market volatility, or the impact of financial crises. This study aimed to build the uncertainty index and control it in the regression analysis model to solve the limitations above. The empirical analysis in Ho Chi Minh Stock Exchange (HOSE) showed that a value premium exists, and value stocks have a higher average return than growth stocks due to the higher overall risk. Furthermore, this study combined the Support Vector Regression (SVR) algorithm with the risk premium theoretical framework for the forecasting model; consequently, it is the most efficient model.
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ISSN:2332-2039
2332-2039
DOI:10.1080/23322039.2023.2191459