Machine Learning and the Cross-Section of Expected Stock Returns
Abstract
This paper develops a comprehensive machine learning framework for predicting stock returns. Using a large set of firm characteristics and macroeconomic variables, we demonstrate that neural network models significantly outperform traditional linear factor models in out-of-sample return prediction. The economic gains from ML-based trading strategies are substantial and robust to transaction costs.
神经网络模型在样本外股票收益预测中显著优于传统线性因子模型。基于ML的交易策略在扣除交易成本后仍能获得可观的经济收益,表明机器学习能够捕捉到传统模型遗漏的非线性定价因子。
构建包含公司特征和宏观经济变量的大规模特征集,采用深度神经网络、随机森林和梯度提升树等多种ML模型进行股票收益预测,并通过样本外R²和夏普比率评估模型表现。
机器学习方法为资产定价研究提供了新范式。非线性模型能更好地捕捉因子间的交互效应,对投资组合构建和风险管理具有重要实践意义。
论文信息
METADATA引用格式
CITATIONChen, L., Pelger, M., Zhu, J. (2025). Machine Learning and the Cross-Section of Expected Stock Returns. *Journal of Finance*.
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