Can a Machine Learn from Behavioral Biases? Evidence from Stock Return Predictability of Deep Learning Models
“These results suggest that deep learning models with nonlinear structures are useful for capturing mispricing induced by behavioral biases.”
AssetEquities
StrategyMachine learningevent-driven strategies
TechniqueFeedforward network
Long/shortLong-short
Also stated: Fundamentals, Text and news
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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