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Building a Comprehensive Stock Valuation Ratio with Machine Learning

1 点作者 scottrogowski大约 4 年前

1 comment

Bostonian大约 4 年前
Interesting project, but it has not worked to select stocks over the short time period considered. Below, FFER is his ratio of market value to fundamental fair value, so a high FFER indicates a stock is overvalued and should fall. Of course, value investing has done badly for many years.<p>&quot;I have tried using backdated FFERs to predict future returns. The results are the opposite of what I would have expected. While the relationship is somewhat weak, stocks with higher historical FFERs tend to generate better returns.&quot;