Acknowledgement
본 논문은 제11회 DB금융경제 공모전 우수상 수상작 "Random Forest와 TF-IDF 기반 텍스트 분석을 이용한 IPO 주식의 상장일 가격 등락 예측"을 발전시켰음.
References
- Ahn, C. K. and D. Kim, "Efficient variable selection method using conditional mutual information," Journal of the Korean Data and Information Science Society, Vol.25, No.5(2014), 1079~1094. https://doi.org/10.7465/jkdi.2014.25.5.1079
- Ahn, H. C., "Optimization of Multiclass Support Vector Machine using Genetic Algorithm: Application to the Prediction of Corporate Credit Rating," Information Systems Review, Vol.16, No.3(2014), 161~177. https://doi.org/10.14329/isr.2014.16.3.161
- Baba, B. and G. Sevil, "Predicting IPO initial returns using random forest," Borsa Istanbul Review, Vol.20, No.1(2020), 13~23. https://doi.org/10.1016/j.bir.2019.08.001
- Baek, J. S. and M. S. Jeong, "A study on the effect of competition rate of subscription and guarantee rate on the underpricing in the initial public offerings," The Korean Finance Association, (2018), 1943~1980.
- Basti, E., C. Kuzey, and D. Delen, "Analyzing initial public offerings' short-term performance using decision trees and SVMs," Decision Support Systems, Vol.73, (2015), 15~27. https://doi.org/10.1016/j.dss.2015.02.011
- Benveniste, L. M., and P. A. Spindt, "How investment bankers determine the offer price and allocation of new issues," Journal of Financial Economics, Vol.24, No.2(1989), 343~361. https://doi.org/10.1016/0304-405X(89)90051-2
- Breiman, L, "Random forests," Machine Learning, Vol.45, No. 1(2001), 5~32. https://doi.org/10.1023/A:1010933404324
- Brown, I. and C. Mues, "An experimental comparison of classification algorithms for imbalanced credit scoring data sets," Expert Systems with Applications, Vol.39, No.3(2012), 3446~3453. https://doi.org/10.1016/j.eswa.2011.09.033
- Buehlmaier, M. M. M. and T. M. Whited, (2018) "Are Financial Constraints Priced? Evidence from Textual Analysis," The Review of Financial Studies, Vol.31, No.7(2018), 2693~2728. https://doi.org/10.1093/rfs/hhy007
- Chan, Y, "Retail Trading and IPO Returns in the Aftermarket," Financial Management, Vol.39, No.4(2010), 1475~1495. https://doi.org/10.1111/j.1755-053x.2010.01119.x
- Chen, Y. S. and C. H. Cheng, "A soft-computing based rough sets classifier for classifying IPO returns in the financial markets," Applied Soft Computing, Vol.12, No.1(2012), 462~475. https://doi.org/10.1016/j.asoc.2011.08.023
- Cho, D. H., H. S. Ryou, S. H. Jung, and K. J. Oh, "Using AI to develop forecasting model in IPO market," Journal of the Korean Data and Information Science Society, Vol.31, No.3 (2020), 579~590. https://doi.org/10.7465/jkdi.2020.31.3.579
- Chun, K. M., I. H. Gee, and H. U. Lee, "The Effect of IPO Subscription Rates for Institutional Investors and Private Investors on IPO Firm Performance: The Moderating Role of Competition and On-line Reviews," Korean Journal of Business Administration, Vol.26, No.5(2013), 1149~1176.
- Cortes, C. and V. Vapnik, "Support-vector networks," Machine learning, Vol.20, No.3(1995), 273~297. https://doi.org/10.1007/BF00994018
- Dadgar, S.M., M.S. Araghi., and M.M. Farahani, "A novel text mining approach based on TF-IDF and Support Vector Machine for news classification" 2016 IEEE International Conference on Engineering and Technology (ICETECH), (2016), 112~116.
- Derrien, F, "IPO Pricing in "Hot" Market Conditions: Who Leaves Money on the Table?," The Journal of Finance, Vol.60, No.1(2005), 487~521. https://doi.org/10.1111/j.1540-6261.2005.00736.x
- Esfahanipour, A., M. Goodarzi., and R. Jahanbin, "Analysis and forecasting of IPO underpricing," Neural Computing and Applications, Vol.27, No.3(2015), 651~658. https://doi.org/10.1007/s00521-015-1884-1
- Fang, F., K. Dutta, and A. Datta, "Domain Adaptation for Sentiment Classification in Light of Multiple Sources," INFORMS Journal on Computing, Vol.26, No.3(2014), 586-598. https://doi.org/10.1287/ijoc.2013.0585
- Fuksa, M, "Sentiment and the Performance of Initial Public Offerings," Available at SSRN 2243379, (2013).
- Gandoman, S. H., N. Kiamehr., and M. Hemetfar, "Forecasting Initial Public Offering Pricing Using Particle Swarm Optimization (PSO) Algorithm and Support Vector Machine (SVM) In Iran," Business and Economic Research, Vol.7, No.1(2017), 336. https://doi.org/10.5296/ber.v7i1.10910
- Garcia, D. "Sentiment during Recessions," The Journal of Finance, Vol.68, No. 3(2013), 1267~1300. https://doi.org/10.1111/jofi.12027
- Han, G. S. "A Study on the Underpricing of IPOs in Korea Capital Market," Korean International Accounting Review, Vol.59, (2015), 125~146.
- Hanley, K. W. and G. Hoberg, "The Information Content of IPO Prospectuses," Review of Financial Studies, Vol.23, No.7(2010), 2821~2864.
- Hong, S. H. and K. S. Shin, "Using GA based Input Selection Method for Artificial Neural Network Modeling: Application to Bankruptcy Prediction," Journal of Intelligence and Information Systems, Vol.9, No.1(2003), 227~249.
- Hong. T. H. and E. M. Kim, "The Prediction of Purchase Amount of Customers Using Support Vector Regression with Separated Learning Method," Journal of Intelligence and Information Systems, Vol.16, No.4(2010), 213~225.
- Ibbotson, R. G, "Price performance of common stock new issues," Journal of Financial Economics, Vol.2, No.3(1975), 235~272. https://doi.org/10.1016/0304-405X(75)90015-X
- Imamah and F. H. Rachman, "Twitter Sentiment Analysis of Covid-19 Using Term Weighting TF-IDF And Logistic Regression," 2020 6th Information Technology International Seminar (ITIS), Surabaya, Indonesia, (2020), 238~242.
- Islam, M., F.E. Jubayer, and S.I. Ahmed, "A support vector machine mixed with TF-IDF algorithm to categorize Bengali document," 2017 International Conference on Electrical, Computer and Communication Engineering, (2017), 191~196.
- Jegadeesh, N. and D. Wu, "Word power: A new approach for content analysis," Journal of Financial Economics, Vol.110, No.3(2013), 712~729. https://doi.org/10.1016/j.jfineco.2013.08.018
- Joh, S. W. and Y. Kim, "Is Textual Information Informative to Informed Investors? Evidence from Bidding Information of Institutional Investors in IPOs," The Thirteenth Conference on Asia-Pacific Financial Markets, Seoul, Korea, (2018).
- Jung, J. Y. and K. W. Park, "A Study on Investor Protection through Morphological Analysis of Equity Crowdfunding Investment Manual," Journal of Information Technology Services, Vol.18, No.5(2019), 165~182. https://doi.org/10.9716/KITS.2019.18.5.165
- Kaohua, Y. and Liwen, Z, "Analysis of influencing factors of IPO underpricing based on rough set and support vector machine," 2012 International Conference on Information Management, Innovation Management and Industrial Engineering, Vol. 3, (2012), 244~248.
- Katsafados, A. G., I. Androutsopoulos., I. Chalkidis., E. Fergadiotis., G. N. Leledakis., and E. G. Pyrgiotakis, "Textual information and IPO underpricing: A machine learning approach," MPRA Paper 103813, University Library of Munich, Germany, (2020).
- Kim, D. Y. and D. E. Won, "An AI Model for Short-term KOSPI Prediction: A Machine Learning-Based Model Using Random Forest Technique," Quantitative Issue, Samsung Securities Research Center, (2019).
- Kim, H. A. and S. C. Jung, (2010) "The Effect of Optimistic Investors' Sentiment on Anomalous Behaviors in the Hot Market IPOs," The Korean Journal of Financial Management, Vol.27, No.2(2010), 1~33.
- Kim, H. H. "Suggestions for Disclosure of Risk Factors in Investment," Practical Explanations of Securities, Korean Listed Companies Association, (2008), 105~108.
- Kim, H. J., J. W. Park, and J. W. Lee, "A Study on the Textual Analysis Research Environment using the DART System in Korea," Korean Accounting Journal, Vol.24, No.4(2015), 199~221.
- Kim, I. H., "Ways to Go Public: Choice of IPO, Sellout, and Reverse Takeover," The Korean Finance Association, (2008), 958~1008.
- Kim, J., S.M. Jun., S. Hwang., H.K. Kim., J. Heo., and M.S. Kang, "Impact of Activation Functions on Flood Forecasting Model Based on Artificial Neural Networks," Journal of The Korean Society of Agricultural Engineers, Vol.63, No.1(2021), 11~25. https://doi.org/10.5389/KSAE.2021.63.1.011
- Kim, K. J. and H. C. Ahn, "Optimization of Support Vector Machines for Financial Forecasting," Journal of Intelligence and Information Systems, Vol.17, No.4(2011), 241~254. https://doi.org/10.13088/JIIS.2011.17.4.241
- Kim, K. Y., G. R. Lee, and S.W. Lee, "A Comparative Analysis of Artificial Intelligence System and Ohlson model for IPO firm's Stock Price Evaluation," Journal of Digital Convergence, Vol.11, No.5(2013), 145~158. https://doi.org/10.14400/JDPM.2013.11.5.145
- Kim, S. J. and H. C. Ahn, "Application of Random Forests to Corporate Credit Rating Prediction," The Journal of Business and Economics, Vol.32, No.1(2016), 187~211
- Kim, T. H., "A Study on the present situations and some proposal for improvements of IPO Regulations and Systems," Journal of Business Administration & Law, Vol.26, No.4(2016), 201~238.
- Kim, Y. S. and S. W. Joh, "Text Analysis for IPO firms in Korea: Analysis of Korean Texts in Registration Statements via Machine Learning," Korean Journal of Financial Studies, Vol.48, No.2(2019), 215~235. https://doi.org/10.26845/KJFS.2019.04.48.2.215
- Kolchyna, O., T. T. Souza., P. Treleaven., and T. Aste, "Twitter sentiment analysis: Lexicon method, machine learning method and their combination," arXiv preprint arXiv:1507.009 55, (2015).
- Lee, H. S., S. H. Jeong, and K. J. Oh, "A study on the prediction of Korean NPL market return," Journal of Intelligence and Information Systems, Vol.25, No.2(2019), 123~139. https://doi.org/10.13088/JIIS.2019.25.2.123
- Lee, S. W. and J. H. Kim, "A Study on the Extraction of Psychological Distance Embedded in Company's SNS Messages Using Machine Learning," Information Systems Review, Vol.21, No.1(2019), 23~38. https://doi.org/10.14329/isr.2019.21.1.023
- Li, F, "The Information Content of Forward-Looking Statements in Corporate Filings-A Naive Bayesian Machine Learning Approach," Journal of Accounting Research, Vol.48, No. 5(2010), 1049~1102. https://doi.org/10.1111/j.1475-679X.2010.00382.x
- Loughran, T. and B. McDonald, "When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10-Ks," The Journal of Finance, Vol.66, No.1(2011), 35~65. https://doi.org/10.1111/j.1540-6261.2010.01625.x
- Loughran, T. and B. McDonald, "IPO first-day returns, offer price revisions, volatility, and form S-1 language," Journal of Financial Economics, Vol.109, No.2(2013), 307~326. https://doi.org/10.1016/j.jfineco.2013.02.017
- Luque, C., D. Quintana., and P. Isasi, "Predicting IPO Underpricing with Genetic Algorithms," International Journal of Artificial Intelligence, Vol.8, No.12(2012), 133~146.
- Ly, T. H. and K. Nguyen, "Do Words Matter: Predicting IPO Performance from Prospectus Sentiment," 2020 IEEE 14th International Conference on Semantic Computing, (2020), 307~310.
- Mai, F., S. Tian., C. Lee., and L. Ma, "Deep learning models for bankruptcy prediction using textual disclosures," European Journal of Operational Research, Vol.274, No.2(2019), 743~758. https://doi.org/10.1016/j.ejor.2018.10.024
- Manurung, J., H. Mawengkang., and E. Zamzami, "Optimizing Support Vector Machine Parameters with Genetic Algorithm for Credit Risk Assessment," Journal of Physics: Conference Series, Vol.930, No. 1(2017).
- Martens, D. and F. Provost, "Explaining Data-Driven Document Classifications," MIS Quarterly, Vol.38, No.1(2014), 73-100. https://doi.org/10.25300/MISQ/2014/38.1.04
- Miller, E. M, "Risk, uncertainty, and divergence of opinion," Journal of Finance, Vol.32, No.4 (1977), 1151~1168. https://doi.org/10.1111/j.1540-6261.1977.tb03317.x
- Min, J. H, "IPO Stock Performance of Institutional and Individual Investors," Journal of CEO and Management Studies, Vol.20, No.3(2017), 75~98.
- Moraes, R., J. F. Valiati, and W. P. G. Neto, "Document-level sentiment classification: An empirical comparison between SVM and ANN," Expert Systems with Applications, Vol.40, No.2(2013), 621-633. https://doi.org/10.1016/j.eswa.2012.07.059
- Muditomo, A. and A. S. Broto, "IPO Performance Prediction During Covid-19 Pandemic in Indonesia Using Decision Tree Algorithm," Journal of Finance and Banking, Vol.25, No.1(2021), 132~143.
- Nguyen, H., A. Veluchamy., M. Diop., and R. Iqbal, "Comparative Study of Sentiment Analysis with Product Reviews Using Machine Learning and Lexicon-Based Approaches," SMU Data Science Review, Vol.1, No.4(2018), 7.
- Park J. S. and B. H. Han, "Analyzing the IPO Market of 2020 and Forecasting the Market of 2021," KOSDAQ Venture, Eugene Research Center, (2021), 16-150.
- Park, J. W., G. C. Jung, and J. E. Cho, "Institutional Investor Trading and IPOs Performance," Korean Journal of Financial Studies, Vol.45, No.1(2016), 171~192.
- Park K. J. and J. Q. Jeon, "The Effect of IPO Syndicates on Underwriting Services: Focusing on Multiple Lead Underwriters and Co-Managers," Korean Journal of Financial Studies, Vol.44, No.1(2015), 189~219.
- Park, S. G., H. J. Lee, H. J. Sim, J. Y. Lee, and J. E. Oh, "Construction of Sound Quality Index for the Vehicle HVAC System Using Regression Model and Neural Network Model," Korean Society for Noise and Vibration Engineering, (2006), 1308~1313.
- Perera, W. and N. Kulendran, "Short-run underpricing and its determinants: Evidence from Australian IPOS," Corporate Ownership and Control, Vol.13, No.3(2016), 502~517. https://doi.org/10.22495/cocv13i3c3p9
- Prastyo, P.H., I. Ardiyanto., and R. Hidayat, "Indonesian Sentiment Analysis: An Experimental Study of Four Kernel Functions on SVM Algorithm with TF-IDF," 2020 International Conference on Data Analytics for Business and Industry: Way Towards a Sustainable Economy (ICDABI), (2020), 1~6.
- Quintana, D., F. Chavez., R. M. Luque Baena., and F. Luna, "Fuzzy techniques for IPO underpricing prediction," Journal of Intelligent & Fuzzy Systems, Vol.35, No.1(2018), 367~381. https://doi.org/10.3233/JIFS-169595
- Reber, B., B. Berry., and S. Toms, "Predicting mispricing of initial public offerings," Intelligent Systems in Accounting, Finance, and Management, Vol.13, No.1(2005), 41~59. https://doi.org/10.1002/isaf.253
- Rock, K, "Why new issues are underpriced," Journal of Financial Economics, Vol.15, No.1-2 (1986), 187~212. https://doi.org/10.1016/0304-405X(86)90054-1
- Ruud, J. S, "Underwriter price support and the IPO underpricing puzzle," Journal of Financial Economics, Vol.34, No.2(1993), 135~151. https://doi.org/10.1016/0304-405X(93)90015-4
- Seo, K. K., "Sales Prediction of Electronic Appliances using a Convergence Model based on Artificial Neural Network and Genetic Algorithm," Journal of Digital Convergence, Vol.13, No.9(2015), 177~182. https://doi.org/10.14400/JDC.2015.13.9.177
- Seo, S. H. and J. T. Kim "Research Trends in Deep Learning-Based Sentiment Analysis," Journal of Korea Multimedia Society, Vol.20, No.3(2016), 8~22.
- Shin, S. H., H. J. Lee, and J. J. Ahn, "A study on initial price change prediction of IPO shares using non-financial information," Journal of the Korean Data and Information Science Society, Vol.29, No.2(2018), 589~616.
- Sun, A., E. P. Lim, and Y. Liu, "On strategies for imbalanced text classification using SVM: A comparative study," Decision Support Systems, Vol.48, No.1(2009), 191-201. https://doi.org/10.1016/j.dss.2009.07.011
- Tao, J., A. V. Deokar., and A. Deshmukh, "Analysing forward-looking statements in initial public offering prospectuses: a text analytics approach," Journal of Business Analytics, Vol.1, No.1(2018), 54~70. https://doi.org/10.1080/2573234x.2018.1507604
- Tetlock, P. C., M. Saar-Tsechansky., and S. Macskassy, "More than words: Quantifying language to measure firms' fundamentals," The Journal of Finance, Vol.63, No.3(2008), 1437~1467. https://doi.org/10.1111/j.1540-6261.2008.01362.x
- Yan, Y., X. Xiong., J. G. Meng., & G. Zou, "Uncertainty and IPO initial returns: Evidence from the Tone Analysis of China's IPO Prospectuses," Pacific-Basin Finance Journal, Vol.57, (2019), 101075. https://doi.org/10.1016/j.pacfin.2018.10.004