Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Uncovering a factor-based expected return conditioning structure with
  Regression Trees jointly for many stocks   Given the success and almost universal acceptance of the simple linear
regression three-factor model, it is interesting to analyze the informational
content of the three factors in explaining stock returns when the analysis is
allowed to consider non-linear dependencies between factors and stock returns.
In order to better understand factor-based conditioning information with
respect to expected stock returns within a regression tree setting, the
analysis of stock returns is demonstrated using daily stock return data for 5
major US corporations. The first finding is that in all cases (solo and joint)
the most informative factor is always the market excess return factor. Further,
three major issues are discussed: a) the balance of a depth=1 tree as it
relates to properties of the stock return distribution, b) the mechanism behind
depth=1 tree balance in a joint regression tree and c) the dominant stock in a
joint regression tree. It is shown that high skew values alone cannot explain
the imbalance of the resulting tree split as stocks with pronounced skew may
produce balanced tree splits.

2
The categories of this paper are: math
20
The categories of this paper are: acc-phys
5
The categories of this paper are: gr-qc
22
The categories of this paper are: chao-dyn
18
The categories of this paper are: econ
28
The categories of this paper are: alg-geom
6
The categories of this paper are: astro-ph
37
The categories of this paper are: supr-con
8
The categories of this paper are: hep-ex
11
The categories of this paper are: hep-lat
23
The categories of this paper are: solv-int
29
The categories of this paper are: funct-an
16
The categories of this paper are: stat
21
The categories of this paper are: adap-org
4
The categories of this paper are: cond-mat
36
The categories of this paper are: cmp-lg