We examine how the return predictability of deep learning models varies with stocks’ vulnerability to investors’ behavioral biases. Using an extensive list of anomaly variables, we find that the long-short strategy based on deep learning signals generates greater returns for stocks that are...

We examine how the return predictability of deep learning models varies with stocks’ vulnerability to investors’ behavioral biases. Using an extensive list of anomaly variables, we find that the long-short strategy based on deep learning signals generates greater returns for stocks more...