Accounting information and stock returns in Vietnam securities market: Machine learning approach

This paper studies the relationship between accounting information reflected in financial statements and stock return Vietnam Stock Market. The authors propose a research model to define relationship. Besides, machine learning algorithms are used researching forecasting, with data obtained from observed firms during period 2009 2020. Research results show that gradient boosting algorithm has best self-reporting performance finan-cial ratios also have great impact on returns, including operating income growth, earnings volatility, dividend yield, before tax-to-equity ratio, cash holding accrual quality. Based results, make some recommendations for investors, firms, policy makers.