Download This PaperInternet Appendix for Deep Learning in Asset Pricing
51 Pages Posted: 11 Jun 2020 Last revised: 11 Sep 2020
Date Written: September 10, 2020
Abstract
The Internet Appendix collects multiple results that support the results in the main text. Among others it includes implementation details, the results for the benchmark approaches, additional robustness results and a detailed description of the data.
Keywords: Conditional asset pricing model, no-arbitrage, stock returns, non-linear factor model, cross-section of expected returns, machine learning, deep learning, big data, hidden states, GMM
JEL Classification: C14, C38, C55, G12
Suggested Citation: Suggested Citation
Chen, Luyang and Pelger, Markus and Zhu, Jason, Internet Appendix for Deep Learning in Asset Pricing (September 10, 2020). Available at SSRN: https://ssrn.com/abstract=3600206 or http://dx.doi.org/10.2139/ssrn.3600206
Do you have a job opening that you would like to promote on SSRN?
Feedback
Feedback to SSRN