@techreport{Andriyashin2008Recursive, abstract = {A great
proportion of stock dynamics can be explained using publicly
available information. The relationship between dynamics and
public information may be of nonlinear character. In this paper
we offer an approach to stock picking by employing so-called
decision trees and applying them to XETRA DAX stocks. Using a
set of fundamental and technical variables, stocks are
classified into three groups according to the proposed position:
long, short or neutral. More precisely, by assessing the current
state of a company, which is represented by fundamental
variables and current market situation, well reflected by
technical variables, it is possible to suggest if the current
market value of a company is underestimated, overestimated or
the stock is fairly priced. The performance of the model over
the observed period suggests that XETRA DAX stock returns can
adequately be predicted by publicly available economic data.
Another conclusion of this study is that the impl