Comparison of linear regression models Ordinary Lasso, Adaptive Group Lasso and Ordinary Least Squares models in selecting effective characteristics to predict the expected return
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 main objective of this research is to determine which method can predict the expected return on stock portfolios in the shortest time and using the least effective features. The research sample is1340observations, including 134companies listed in Tehran Stock Exchange, and the research variables from the financial statements of the companies and the stock market reports between 2008and 2018. The results of this study show that by employing the least squares regression method, 7 characteristics, the typical 5- characteristics LASSO method and in the Adaptive Group LASSO method, only 4characteristics, contain incremental information to predict the expected returns of stock portfolios. In the second place, by applying the Adaptive Group LASSO regression method, one can achieve the same results with using the least characteristics.
-
Explaining the Impact of Workforce Agility through Financial and Non-Financial Indicators on Company Reputation
Maryam Mousavi, *, Ghodratolah Taleb Nia, Maryam Khalili Araghi
Journal of Financial Accounting, Summer 2025 -
Prioritization of financial resilience components of mergers and acquisitions using fuzzy Delphi Analytical Hierarchy Process or FDAHP
Maryam Pazhokh, Fraydoon Rahnamay Roodposhti *,
International Journal of Finance and Managerial Accounting, Autumn 2026 -
Examining the Impact of Auditors' Professional Ethics on Interaction Strategies with Clients (Initial Discussions and Final Negotiations)
Mohammad Masoudi Moghadam, Ghodrat Allah Talebnia *
Journal of Professional Auditing Research, -
Nonparametric model test by using adaptive group LASSO method to identify the effective features in predicting the expected returns of stock portfolios
Raheleh Ossadat Mortazavi, *, Ghodratallah Talebnia, Seyedeh Mahboobeh Jafari
Journal of Investment Knowledge,