Recent advances in machine learning are finding commercial applications across many industries, not least the finance industry. This paper focuses on applications in one of the core functions of finance, the investment process. This includes return forecasting, risk modelling and portfolio...

We find negative relationship between historical price-earnings (P/E) ratio and following year's stock returns in Australia and New Zealand. The existence of P/E effect is consistent with prior research in US market but the effect seems to be stronger and short-lived. Whilst the excess returns...