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Thesis

Machine learning based financial statement analysis predicting the market reaction to earnings announcements

Abstract:

This thesis considers the question of whether machine learning models can utilise the data contained in past financial statements to predict the market reaction to a future earnings announcement. The theoretical motivation for this hypothesis is drawn from a literature review encompassing the research domains of financial statement analysis, and earnings forecasting.

For the empiric evaluation of the hypothesis, a range of machine learning models and traditional linear models are...

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Division:
MPLS
Department:
Engineering Science
Role:
Author

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Role:
Supervisor
Role:
Supervisor
Role:
Supervisor
Role:
Examiner
Role:
Examiner
Type of award:
MSc by Research
Level of award:
Masters
Awarding institution:
University of Oxford
Language:
English
Subjects:
UUID:
uuid:a0aa6a5a-cfa4-40c0-a34c-08f779bb4bda
Deposit date:
2020-03-26

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