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.
| Methods | 5 days | 15 days | 30 days | Accuracy | F1 | Accuracy | F1 | Accuracy | F1 |
| SVM | 0.631 | 0.642 | 0.7081 | 0.6965 | 0.6660 | 0.6705 | LSTM | 0.6598 | 0.6671 | 0.7217 | 0.7201 | 0.6876 | 0.6911 | OURS | 0.6833 | 0.6792 | 0.7381 | 0.7399 | 0.7087 | 0.6986 |
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