Regression Asset Pricing and Investment

7 Pages Posted: 3 Jun 2019

See all articles by Tingting Ye

Tingting Ye

Boston University - Questrom School of Business

Liangliang Zhang

Dongxing Securities

Date Written: May 11, 2019

Abstract

In this paper, we propose several regression asset pricing techniques. Applications in investment are studied and our methodologies yield superior results.

Keywords: Regression Asset Pricing, Deep Neural Networks, Panel Regression

JEL Classification: C12

Suggested Citation

Ye, Tingting and Zhang, Liangliang, Regression Asset Pricing and Investment (May 11, 2019). Boston University Questrom School of Business Research Paper No. 3386467, Available at SSRN: https://ssrn.com/abstract=3386467 or http://dx.doi.org/10.2139/ssrn.3386467

Tingting Ye

Boston University - Questrom School of Business ( email )

595 Commonwealth Avenue
Boston, MA MA 02215
United States

Liangliang Zhang (Contact Author)

Dongxing Securities ( email )

Yangshupu Rd. No. 248
Hongkou District
Shanghai, Shanghai 200433
China

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