Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/319309 
Year of Publication: 
2024
Citation: 
[Journal:] Journal of Business Finance & Accounting [ISSN:] 1468-5957 [Volume:] 52 [Issue:] 2 [Publisher:] Wiley [Place:] Hoboken, NJ [Year:] 2024 [Pages:] 1095-1115
Publisher: 
Wiley, Hoboken, NJ
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 logistic regression with financial data inputs performs reasonably well and sometimes outperforms newer classifiers such as random forests and neural networks. However, we find that a stochastic gradient boosting model systematically outperforms the logistic regression, and forecasts using suitable combinations of financial and textual data inputs yield significantly higher prediction performance. Overall, the evidence suggests that machine learning methods can help predict stock price crashes.
Subjects: 
machine learning
natural language processing
stock price crash risk
textual disclosures
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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