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1 – 10 of over 17000In order to provide an updated view on the drivers of German stock returns, the authors evaluate the relative performance of nine competing neoclassical asset pricing models in…
Abstract
Purpose
In order to provide an updated view on the drivers of German stock returns, the authors evaluate the relative performance of nine competing neoclassical asset pricing models in the German stock market between November 1991 and December 2021.
Design/methodology/approach
The authors conduct asymptotically valid tests of model comparison when the extent of model mispricing is gauged by the squared Sharpe ratio improvement measure of Barillas et al. (2020).
Findings
The study finds that the Fama and French six-factor model with both traditional and updated value factors emerges as the dominant model.
Originality/value
The authors shed new light on the drivers of German stock returns through an updated and extended period of analysis, wider range of potential models and utilization of valid asymptotic tests of model comparison when models are nonnested (Barillas et al., 2020).
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Pratyush N. Sharma, Benjamin D. Liengaard, Joseph F. Hair, Marko Sarstedt and Christian M. Ringle
Researchers often stress the predictive goals of their partial least squares structural equation modeling (PLS-SEM) analyses. However, the method has long lacked a statistical…
Abstract
Purpose
Researchers often stress the predictive goals of their partial least squares structural equation modeling (PLS-SEM) analyses. However, the method has long lacked a statistical test to compare different models in terms of their predictive accuracy and to establish whether a proposed model offers a significantly better out-of-sample predictive accuracy than a naïve benchmark. This paper aims to address this methodological research gap in predictive model assessment and selection in composite-based modeling.
Design/methodology/approach
Recent research has proposed the cross-validated predictive ability test (CVPAT) to compare theoretically established models. This paper proposes several extensions that broaden the scope of CVPAT and explains the key choices researchers must make when using them. A popular marketing model is used to illustrate the CVPAT extensions’ use and to make recommendations for the interpretation and benchmarking of the results.
Findings
This research asserts that prediction-oriented model assessments and comparisons are essential for theory development and validation. It recommends that researchers routinely consider the application of CVPAT and its extensions when analyzing their theoretical models.
Research limitations/implications
The findings offer several avenues for future research to extend and strengthen prediction-oriented model assessment and comparison in PLS-SEM.
Practical implications
Guidelines are provided for applying CVPAT extensions and reporting the results to help researchers substantiate their models’ predictive capabilities.
Originality/value
This research contributes to strengthening the predictive model validation practice in PLS-SEM, which is essential to derive managerial implications that are typically predictive in nature.
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Haonan Fan, Qin Dong and Naixuan Guo
This paper aims to propose a classification method for steel strip surface defects based on a mixed attention mechanism to achieve fast and accurate classification performance…
Abstract
Purpose
This paper aims to propose a classification method for steel strip surface defects based on a mixed attention mechanism to achieve fast and accurate classification performance. The traditional method of classifying surface defects of hot-rolled steel strips has the problems of low recognition accuracy and low efficiency in the industrial complex production environment.
Design/methodology/approach
The authors selected min–max scaling comparison method to filter the training results of multiple network models on the steel strip surface defect data set. Then, the best comprehensive performance model EfficientNet-B0 was refined. Based on this, the authors proposed two mixed attention addition methods, which include squeeze-excitation spatial mixed module and multilayer mixed attention mechanism (MMAM) module, respectively.
Findings
With these two methods, the authors achieved 96.72% and 97.70% recognition accuracy on the steel strip data set after data augmentation for adapting to the complex production environment, respectively. Using the transfer learning method, the EfficientNet-B0 based on MMAM obtained 100% recognition accuracy.
Originality/value
This study not only focuses on improving the recognition accuracy of the network model itself but also considers other performance indicators of the network, which are rarely considered by many researchers. The authors further improve the intelligent production technique and address this issue. Both methods proposed in this paper can be applied to embedded equipment, which can effectively improve steel strip factory production efficiency and reduce material and time loss.
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Amer Mecellem, Soufyane Belhenini, Douaa Khelladi and Caroline Richard
The purpose of this study is to propose a simplifying approach for modelling a reliability test. Modelling the reliability tests of printed circuit board (PCB)/microelectronic…
Abstract
Purpose
The purpose of this study is to propose a simplifying approach for modelling a reliability test. Modelling the reliability tests of printed circuit board (PCB)/microelectronic component assemblies requires the adoption of several simplifying assumptions. This study introduces and validates simplified assumptions for modeling a four-point bend test on a PCB/wafer-level chip scale packaging assembly.
Design/methodology/approach
In this study, simplifying assumptions were used. These involved substituting dynamic imposed displacement loading with an equivalent static loading, replacing the spherical shape of the interconnections with simplified shapes (cylindrical and cubic) and transitioning from a three-dimensional modelling approach to an equivalent two-dimensional model. The validity of these simplifications was confirmed through both quantitative and qualitative comparisons of the numerical results obtained. The maximum principal plastic strain in the solder balls and copper pads served as the criteria for comparison.
Findings
The simplified hypotheses were validated through quantitative and qualitative comparisons of the results from various models. Consequently, it was determined that the replacement of dynamic loading with equivalent static loading had no significant impact on the results. Similarly, substituting the spherical shape of interconnections with an equivalent shape and transitioning from a three-dimensional approach to a two-dimensional one did not substantially affect the precision of the obtained results.
Originality/value
This study serves as a valuable resource for researchers seeking to model accelerated reliability tests, particularly in the context of four-point bending tests. The results obtained in this study will assist other researchers in streamlining their numerical models, thereby reducing calculation costs through the utilization of the simplified hypotheses introduced and validated herein.
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Glenn W. Harrison and J. Todd Swarthout
We take Cumulative Prospect Theory (CPT) seriously by rigorously estimating structural models using the full set of CPT parameters. Much of the literature only estimates a subset…
Abstract
We take Cumulative Prospect Theory (CPT) seriously by rigorously estimating structural models using the full set of CPT parameters. Much of the literature only estimates a subset of CPT parameters, or more simply assumes CPT parameter values from prior studies. Our data are from laboratory experiments with undergraduate students and MBA students facing substantial real incentives and losses. We also estimate structural models from Expected Utility Theory (EUT), Dual Theory (DT), Rank-Dependent Utility (RDU), and Disappointment Aversion (DA) for comparison. Our major finding is that a majority of individuals in our sample locally asset integrate. That is, they see a loss frame for what it is, a frame, and behave as if they evaluate the net payment rather than the gross loss when one is presented to them. This finding is devastating to the direct application of CPT to these data for those subjects. Support for CPT is greater when losses are covered out of an earned endowment rather than house money, but RDU is still the best single characterization of individual and pooled choices. Defenders of the CPT model claim, correctly, that the CPT model exists “because the data says it should.” In other words, the CPT model was borne from a wide range of stylized facts culled from parts of the cognitive psychology literature. If one is to take the CPT model seriously and rigorously then it needs to do a much better job of explaining the data than we see here.
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This study aims to compare machine learning models, datasets and splitting training-testing using data mining methods to detect financial statement fraud.
Abstract
Purpose
This study aims to compare machine learning models, datasets and splitting training-testing using data mining methods to detect financial statement fraud.
Design/methodology/approach
This study uses a quantitative approach from secondary data on the financial reports of companies listed on the Indonesia Stock Exchange in the last ten years, from 2010 to 2019. Research variables use financial and non-financial variables. Indicators of financial statement fraud are determined based on notes or sanctions from regulators and financial statement restatements with special supervision.
Findings
The findings show that the Extremely Randomized Trees (ERT) model performs better than other machine learning models. The best original-sampling dataset compared to other dataset treatments. Training testing splitting 80:10 is the best compared to other training-testing splitting treatments. So the ERT model with an original-sampling dataset and 80:10 training-testing splitting are the most appropriate for detecting future financial statement fraud.
Practical implications
This study can be used by regulators, investors, stakeholders and financial crime experts to add insight into better methods of detecting financial statement fraud.
Originality/value
This study proposes a machine learning model that has not been discussed in previous studies and performs comparisons to obtain the best financial statement fraud detection results. Practitioners and academics can use findings for further research development.
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Ark Rukhaiyar, Bhagya Jayant, Kunal Dahiya, Rahul Kumar Meena and Ritu Raj
In this study the comparison is presented for the variation in cross-sectional shape along the height of the building model. For this purpose Model B and Model C are having the…
Abstract
Purpose
In this study the comparison is presented for the variation in cross-sectional shape along the height of the building model. For this purpose Model B and Model C are having the considerable variation and Model A result can be easily predicted on the basis of the result of Model B and C while Model X is considered for the validation purposes only and it is well established that the results are within the allowable limit. This paper aims to discuss these wind generated effects in the tall building model.
Design/methodology/approach
Computational Fluid Dynamics (CFD) in ANSYS: CFX is used to investigate the wind effects on varying cross-sectional shape along the height of the building model.
Findings
From pressure contours, it was observed that shape and size of the face is independent of the pressure distribution. It is also observed that pressure distribution for the windward face (A) was less than the magnitude of the leeward face for both models. The leeward face and lateral faces had similar pressure distribution. Also slight changes in pressure distribution were observed at the periphery of the models.
Originality/value
This study has been performed to analyse and compare the wind effect on tall buildings having varying cross sections with variation of different cross sections along the height. Most of the studies done in the field of tall buildings are concentrated to one particular cross-sectional shape while the present study investigates wind effects for combination of two types of cross sections along the height. This analysis is performed for wind incidence angles ranging from 0° to 90° at an interval of 30°. Analysis of wind flow characteristics of two models, Models B and C will be computed using CFD. These two models are the variation of Model A which is a combination of two types of cross section that is square and plus. Square and plus cross-sectional heights for Model B are 48 m and 144 m, respectively. Similarly, square and plus cross-sectional heights for Model C are 144 m and 48 m, respectively. The results are interpreted using pressure contours and streamlines, and comparative graphs of drag and lift forces are presented.
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Chao Xia, Bo Zeng and Yingjie Yang
Traditional multivariable grey prediction models define the background-value coefficients of the dependent and independent variables uniformly, ignoring the differences between…
Abstract
Purpose
Traditional multivariable grey prediction models define the background-value coefficients of the dependent and independent variables uniformly, ignoring the differences between their physical properties, which in turn affects the stability and reliability of the model performance.
Design/methodology/approach
A novel multivariable grey prediction model is constructed with different background-value coefficients of the dependent and independent variables, and a one-to-one correspondence between the variables and the background-value coefficients to improve the smoothing effect of the background-value coefficients on the sequences. Furthermore, the fractional order accumulating operator is introduced to the new model weaken the randomness of the raw sequence. The particle swarm optimization (PSO) algorithm is used to optimize the background-value coefficients and the order of the model to improve model performance.
Findings
The new model structure has good variability and compatibility, which can achieve compatibility with current mainstream grey prediction models. The performance of the new model is compared and analyzed with three typical cases, and the results show that the new model outperforms the other two similar grey prediction models.
Originality/value
This study has positive implications for enriching the method system of multivariable grey prediction model.
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Chong Wu, Xiaofang Chen and Yongjie Jiang
While the Chinese securities market is booming, the phenomenon of listed companies falling into financial distress is also emerging, which affects the operation and development of…
Abstract
Purpose
While the Chinese securities market is booming, the phenomenon of listed companies falling into financial distress is also emerging, which affects the operation and development of enterprises and also jeopardizes the interests of investors. Therefore, it is important to understand how to accurately and reasonably predict the financial distress of enterprises.
Design/methodology/approach
In the present study, ensemble feature selection (EFS) and improved stacking were used for financial distress prediction (FDP). Mutual information, analysis of variance (ANOVA), random forest (RF), genetic algorithms, and recursive feature elimination (RFE) were chosen for EFS to select features. Since there may be missing information when feeding the results of the base learner directly into the meta-learner, the features with high importance were fed into the meta-learner together. A screening layer was added to select the meta-learner with better performance. Finally, Optima hyperparameters were used for parameter tuning by the learners.
Findings
An empirical study was conducted with a sample of A-share listed companies in China. The F1-score of the model constructed using the features screened by EFS reached 84.55%, representing an improvement of 4.37% compared to the original features. To verify the effectiveness of improved stacking, benchmark model comparison experiments were conducted. Compared to the original stacking model, the accuracy of the improved stacking model was improved by 0.44%, and the F1-score was improved by 0.51%. In addition, the improved stacking model had the highest area under the curve (AUC) value (0.905) among all the compared models.
Originality/value
Compared to previous models, the proposed FDP model has better performance, thus bridging the research gap of feature selection. The present study provides new ideas for stacking improvement research and a reference for subsequent research in this field.
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Armin Mahmoodi, Leila Hashemi and Milad Jasemi
In this study, the central objective is to foresee stock market signals with the use of a proper structure to achieve the highest accuracy possible. For this purpose, three hybrid…
Abstract
Purpose
In this study, the central objective is to foresee stock market signals with the use of a proper structure to achieve the highest accuracy possible. For this purpose, three hybrid models have been developed for the stock markets which are a combination of support vector machine (SVM) with meta-heuristic algorithms of particle swarm optimization (PSO), imperialist competition algorithm (ICA) and genetic algorithm (GA).All the analyses are technical and are based on the Japanese candlestick model.
Design/methodology/approach
Further as per the results achieved, the most suitable algorithm is chosen to anticipate sell and buy signals. Moreover, the authors have compared the results of the designed model validations in this study with basic models in three articles conducted in the past years. Therefore, SVM is examined by PSO. It is used as a classification agent to search the problem-solving space precisely and at a faster pace. With regards to the second model, SVM and ICA are tested to stock market timing, in a way that ICA is used as an optimization agent for the SVM parameters. At last, in the third model, SVM and GA are studied, where GA acts as an optimizer and feature selection agent.
Findings
As per the results, it is observed that all new models can predict accurately for only 6 days; however, in comparison with the confusion matrix results, it is observed that the SVM-GA and SVM-ICA models have correctly predicted more sell signals, and the SCM-PSO model has correctly predicted more buy signals. However, SVM-ICA has shown better performance than other models considering executing the implemented models.
Research limitations/implications
In this study, the data for stock market of the years 2013–2021 were analyzed; the long length of timeframe makes the input data analysis challenging as they must be moderated with respect to the conditions where they have been changed.
Originality/value
In this study, two methods have been developed in a candlestick model; they are raw-based and signal-based approaches in which the hit rate is determined by the percentage of correct evaluations of the stock market for a 16-day period.
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