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Rethinking Variable Importance in Machine Learning: An Economic Perspective on Empirical Asset Pricing

Yonghwan Jo & Yong Hyun Kim

Financial Analysts Journal2026https://doi.org/10.1080/0015198x.2026.2621646article
AJG 3ABDC A
Weight
0.50

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https://doi.org/https://doi.org/10.1080/0015198x.2026.2621646

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@article{yonghwan2026,
  title        = {{Rethinking Variable Importance in Machine Learning: An Economic Perspective on Empirical Asset Pricing}},
  author       = {Yonghwan Jo & Yong Hyun Kim},
  journal      = {Financial Analysts Journal},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1080/0015198x.2026.2621646},
}

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Rethinking Variable Importance in Machine Learning: An Economic Perspective on Empirical Asset Pricing

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.