Can Deep Neural Networks Outperform Fama-MacBeth Regression and Other Supervised Learning Approaches in Stock Returns Prediction With Asset-Pricing Factors?
“Our analysis shows the benefit of employing neural networks, and deeper neural networks enjoy marginal improvements in terms of prediction.”
AssetEquitiessingle stocks
StrategyMachine learningmacro signals
TechniqueFeedforward networklinear factor model
ClaimExcess return
Also stated: out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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The paper's neighbourhoodMachine learning return prediction by year
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