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

Table 5

Comparison of excess return forecast results with different inputs.

Methods	5 days		15 days		30 days
	Accuracy	F1	Accuracy	F1	Accuracy	F1
LSTM	0.6598	0.6671	0.7217	0.7201	0.6876	0.6911
LSTM +	0.6601	0.6766	0.7316	0.7287	0.6891	0.6934
LSTM +  + RRA	0.6768	0.6784	0.7301	0.7287	0.6965	0.7011
OURS_full	0.6833	0.6792	0.7381	0.7399	0.7087	0.6986