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

Table 4

Comparison of excess return forecast results in different market environments.

Methods	5 days		15 days		30 days
	Accuracy	F1	Accuracy	F1	Accuracy	F1
Bull market
SVM	0.6810	0.6931	0.7335	0.7398	0.7161	0.7176
LSTM	0.6938	0.6978	0.7534	0.7583	0.7216	0.7271
OURS	0.7155	0.7203	0.7801	0.7868	0.7337	0.7312
Bear market
SVM	0.6688	0.6724	0.7186	0.7113	0.6922	0.6950
LSTM	0.6814	0.6957	0.7476	0.7561	0.7284	0.7189
OURS	0.7076	0.7055	0.7465	0.7493	0.7195	0.7112