Accounting information and stock returns in Vietnam securities market: Machine learning approach
This paper studies the relationship between accounting information reflected in financial statements and stock return in Vietnam Stock Market. The authors propose a research model to define the relationship. Besides, machine learning algorithms are used in researching and forecasting, with data obt...
| Main Authors: | , , |
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| Format: | Article |
| Language: | Spanish |
| Published: |
Pontificia Universidad Católica del Perú
2022-06-01
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| Series: | Contabilidad y Negocios: Revista del Departamento Académico de Ciencias Administrativas |
| Subjects: | |
| Online Access: | https://revistas.pucp.edu.pe/index.php/contabilidadyNegocios/article/view/25398 |
| _version_ | 1818217441091649536 |
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| author | Ngoc Hung Dang Thi Thuy Van Vu Thi Nhat Le Dao |
| author_facet | Ngoc Hung Dang Thi Thuy Van Vu Thi Nhat Le Dao |
| author_sort | Ngoc Hung Dang |
| collection | DOAJ |
| description |
This paper studies the relationship between accounting information reflected in financial statements and stock return in Vietnam Stock Market. The authors propose a research model to define the relationship. Besides, machine learning algorithms are used in researching and forecasting, with data obtained from observed firms during the period from 2009 to 2020. Research results show that gradient boosting algorithm has the best self-reporting performance and finan-cial ratios also have great impact on stock returns, including operating income growth, stock earnings volatility, dividend yield, earnings before tax-to-equity ratio, cash holding ratio, and accrual quality. Based on the research results, the authors make some recommendations for investors, firms, and policy makers.
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| first_indexed | 2024-12-12T07:07:55Z |
| format | Article |
| id | doaj.art-9312ef73e81e4aaf86d12e3ea2ef1d70 |
| institution | Directory Open Access Journal |
| issn | 1992-1896 2221-724X |
| language | Spanish |
| last_indexed | 2024-12-12T07:07:55Z |
| publishDate | 2022-06-01 |
| publisher | Pontificia Universidad Católica del Perú |
| record_format | Article |
| series | Contabilidad y Negocios: Revista del Departamento Académico de Ciencias Administrativas |
| spelling | doaj.art-9312ef73e81e4aaf86d12e3ea2ef1d702022-12-22T00:33:41ZspaPontificia Universidad Católica del PerúContabilidad y Negocios: Revista del Departamento Académico de Ciencias Administrativas1992-18962221-724X2022-06-011733Accounting information and stock returns in Vietnam securities market: Machine learning approachNgoc Hung DangThi Thuy Van VuThi Nhat Le Dao This paper studies the relationship between accounting information reflected in financial statements and stock return in Vietnam Stock Market. The authors propose a research model to define the relationship. Besides, machine learning algorithms are used in researching and forecasting, with data obtained from observed firms during the period from 2009 to 2020. Research results show that gradient boosting algorithm has the best self-reporting performance and finan-cial ratios also have great impact on stock returns, including operating income growth, stock earnings volatility, dividend yield, earnings before tax-to-equity ratio, cash holding ratio, and accrual quality. Based on the research results, the authors make some recommendations for investors, firms, and policy makers. https://revistas.pucp.edu.pe/index.php/contabilidadyNegocios/article/view/25398stock returnmachine learningdecision treegradient boostingelastic netaccounting information |
| spellingShingle | Ngoc Hung Dang Thi Thuy Van Vu Thi Nhat Le Dao Accounting information and stock returns in Vietnam securities market: Machine learning approach Contabilidad y Negocios: Revista del Departamento Académico de Ciencias Administrativas stock return machine learning decision tree gradient boosting elastic net accounting information |
| title | Accounting information and stock returns in Vietnam securities market: Machine learning approach |
| title_full | Accounting information and stock returns in Vietnam securities market: Machine learning approach |
| title_fullStr | Accounting information and stock returns in Vietnam securities market: Machine learning approach |
| title_full_unstemmed | Accounting information and stock returns in Vietnam securities market: Machine learning approach |
| title_short | Accounting information and stock returns in Vietnam securities market: Machine learning approach |
| title_sort | accounting information and stock returns in vietnam securities market machine learning approach |
| topic | stock return machine learning decision tree gradient boosting elastic net accounting information |
| url | https://revistas.pucp.edu.pe/index.php/contabilidadyNegocios/article/view/25398 |
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