Kaya, Devrimi; Reichmann, Doron; Reichmann, Milan - In: Journal of Business Finance & Accounting 52, 2, pp. 1095-1115
Abstract We use machine learning methods to predict firm‐specific stock price crashes and evaluate the out‐of‐sample prediction performance of various methods, compared to traditional regression approaches. Using financial and textual data from 10‐K filings, our results show that a...