Scaling State-Space Models: A Deep Learning Approach to Firm-level Return Forecasting
“Despite the idiosyncratic volatility of individual stocks, our zero-net-investment long-short strategy generates an average annual excess return of 30%, totaling approximately 500% over the 6-year out-of-sample periods.”
AssetEquitiessingle stocks
StrategyMachine learningmacro signals
TechniqueRecurrent neural networkfeedforward network
GeographyUS
Also stated: Annual, Excess return, Long-short, Fundamentals, out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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