We examine the time variations of expected momentum profits using a two-state Markov switching model with time-varying transition probabilities to evaluate the empirical relevance of recent rational theories of momentum profits. We find that in the expansion state the expected returns of winner...

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...