Can deep neural networks outperform Fama-MacBeth regression and other supervised learning approaches in stock returns prediction with asset-pricing factors?
Huei-Wen Teng, Yu-Hsien Li
| Year of publication: |
2023
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|---|---|
| Authors: | Teng, Huei-Wen ; Li, Yu-Hsien |
| Published in: |
Digital finance : smart data analytics, investment innovation, and financial technology. - [Cham] : Springer Nature Switzerland AG, ISSN 2524-6186, ZDB-ID 2947479-6. - Vol. 5.2023, 1, p. 149-182
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| Subject: | Asset pricing | Boosting | Elastic net | Fama-MacBeth regression | Neural network | Regression tree | Regressionsanalyse | Regression analysis | Neuronale Netze | Neural networks | Prognoseverfahren | Forecasting model | Theorie | Theory | Kapitaleinkommen | Capital income | Schätzung | Estimation | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s42521-023-00076-y [DOI] |
| Classification: | C45 - Neural Networks and Related Topics ; c57 ; c58 ; G12 - Asset Pricing |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014251571