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Using the classification and regression tree (CART) model for stock selection on the S&P 700
Traditionally, investment practitioners and academics alike have used stock fundamentals and a linear framework in order to predict future stock performance. This approach has been shown to have flaws as literature has shown that stock returns can exhibit non-linearity and involve complex relations...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2016
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| _version_ | 1867613935221342208 |
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| access_status_str | Open Access |
| author | Pienaar, Neil Deon |
| author2 | Van Rensburg, Paul |
| author_browse | Pienaar, Neil Deon Van Rensburg, Paul |
| author_facet | Van Rensburg, Paul Pienaar, Neil Deon |
| author_sort | Pienaar, Neil Deon |
| collection | Thesis |
| description | Traditionally, investment practitioners and academics alike have used stock fundamentals and a linear framework in order to predict future stock performance. This approach has been shown to have flaws as literature has shown that stock returns can exhibit non-linearity and involve complex relations beyond that of a linear nature (Hsieh, 1991; Sarantis, 2001; Shively, 2003). These findings present an opportunity to investment practitioners who are better able to model these returns. This dissertation attempts to classify stocks on the S&P 700 index using a Classification and Regression Tree (CART) built during an in-sample period and then used for predicative purposes during an out-of-sample period deliberately comprising both a period of financial crisis and recovery. For these periods, various portfolios and performance measures are calculated in order to assess the models performance relative to the benchmark, the Standard and Poor (S&P) 700 index. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/20728 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:44:02.983Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2016 |
| publishDateRange | 2016 |
| publishDateSort | 2016 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/20728 Using the classification and regression tree (CART) model for stock selection on the S&P 700 Pienaar, Neil Deon Van Rensburg, Paul Investment Management Traditionally, investment practitioners and academics alike have used stock fundamentals and a linear framework in order to predict future stock performance. This approach has been shown to have flaws as literature has shown that stock returns can exhibit non-linearity and involve complex relations beyond that of a linear nature (Hsieh, 1991; Sarantis, 2001; Shively, 2003). These findings present an opportunity to investment practitioners who are better able to model these returns. This dissertation attempts to classify stocks on the S&P 700 index using a Classification and Regression Tree (CART) built during an in-sample period and then used for predicative purposes during an out-of-sample period deliberately comprising both a period of financial crisis and recovery. For these periods, various portfolios and performance measures are calculated in order to assess the models performance relative to the benchmark, the Standard and Poor (S&P) 700 index. 2016-07-25T11:37:27Z 2016-07-25T11:37:27Z 2016 Master Thesis Masters MCom http://hdl.handle.net/11427/20728 eng application/pdf Department of Finance and Tax Faculty of Commerce University of Cape Town |
| spellingShingle | Investment Management Pienaar, Neil Deon Using the classification and regression tree (CART) model for stock selection on the S&P 700 |
| thesis_degree_str | Master's |
| title | Using the classification and regression tree (CART) model for stock selection on the S&P 700 |
| title_full | Using the classification and regression tree (CART) model for stock selection on the S&P 700 |
| title_fullStr | Using the classification and regression tree (CART) model for stock selection on the S&P 700 |
| title_full_unstemmed | Using the classification and regression tree (CART) model for stock selection on the S&P 700 |
| title_short | Using the classification and regression tree (CART) model for stock selection on the S&P 700 |
| title_sort | using the classification and regression tree cart model for stock selection on the s p 700 |
| topic | Investment Management |
| url | http://hdl.handle.net/11427/20728 |
| work_keys_str_mv | AT pienaarneildeon usingtheclassificationandregressiontreecartmodelforstockselectiononthesp700 |