Comparison of linear regression models Ordinary Lasso, Adaptive Group Lasso and Ordinary Least Squares models in selecting effective characteristics to predict the expected return

Raheleh ossadat Mortazavi; Hamid Reza Vakilifard; Ghodratallah Talebnia; Seyedeh Mahboobeh Jafari

Volume 2, Issue 3 , July 2018, , Pages 49-69

https://doi.org/10.22034/ijf.2018.96161

Abstract
  In this study, for the selection of the characteristics of the company that provides the incremental information to investors and financial analysts, the linear models are adapted by the ordinary Lasso method (Tibshirani, 1996), Adaptive Group LASSO (Zu, 2006) and the least squares method (OLS). The ...  Read More