Research Article

Incorporating Research Reports and Market Sentiment for Stock Excess Return Prediction: A Case of Mainland China

Table 3

Comparison of excess return forecast results by different methods.

Methods5 days15 days30 days
AccuracyF1AccuracyF1AccuracyF1

SVM0.6310.6420.70810.69650.66600.6705
LSTM0.65980.66710.72170.72010.68760.6911
OURS0.68330.67920.73810.73990.70870.6986