Table B1.

AUC of random forests for different choices of the tuning parameter $m$ across the four classification tasks. No CE: without cross-effect features, CE: with cross effect features

Target	Group	Model	m = 1	m = 2	m = 3	m = 4
Realized volatility	Large firms	No CE	0.55	0.55	0.55	0.55
		CE	0.66	0.66	0.66	0.65
Realized volatility	Small firms	No CE	0.58	0.57	0.55	0.55
		CE	0.60	0.59	0.58	0.58
Kurtosis	Large firms	No CE	0.48	0.47	0.47	0.47
		CE	0.52	0.52	0.53	0.53
Kurtosis	Small firms	No CE	0.46	0.47	0.47	0.47
		CE	0.45	0.46	0.47	0.47