The DOI matches its Crossref record; 46 of the 46 references it cites were found in a registry or an index.
Deep Learning in Asset Pricing
Abstract
We use deep neural networks to estimate an asset pricing model for individual stock returns that takes advantage of the vast amount of conditioning information, keeps a fully flexible form, and accounts for time variation. The key innovations are to use the fundamental no-arbitrage condition as criterion function to construct the most informative test assets with an adversarial approach and to extract the states of the economy from many macroeconomic time series. Our asset pricing model outperforms out-of-sample all benchmark approaches in terms of Sharpe ratio, explained variation, and pricing errors and identifies the key factors that drive asset prices. This paper was accepted by Agostino Capponi, finance. Supplemental Material: The online appendix and data are available at https://doi.org/10.1287/mnsc.2023.4695 .
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Cites
Hochreiter, S., & Schmidhuber, J. (1997) · Neural Computation · doi:10.1162/neco.1997.9.8.1735 · Cited by 102,318
Adam: A Method for Stochastic Optimization
Kingma, D. P., & Ba, J. (2014) · arXiv · doi:10.48550/arxiv.1412.6980 · Cited by 98,946
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Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
The Cross‐Section of Expected Stock Returns
FAMA, E. F., & FRENCH, K. R. (1992) · The Journal of Finance · doi:10.1111/j.1540-6261.1992.tb04398.x · Cited by 17,261
Large Sample Properties of Generalized Method of Moments Estimators
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(2016) · Cited by 11,679
A five-factor asset pricing model
Fama, E. F., & French, K. R. (2015) · Journal of Financial Economics · doi:10.1016/j.jfineco.2014.10.010 · Cited by 7,852
The arbitrage theory of capital asset pricing
Ross, S. A. (1976) · Journal of Economic Theory · doi:10.1016/0022-0531(76)90046-6 · Cited by 7,009
An overview of gradient descent optimization algorithms
Ruder, S. (2016) · arXiv · doi:10.48550/arxiv.1609.04747 · Cited by 4,962
Cited by
Macro, Finance, and Macro Finance: Solving Nonlinear Models in Continuous Time with Machine Learning
Duarte, V. (2017) · SSRN Electronic Journal · doi:10.2139/ssrn.3012602 · Cited by 9
Do Machine Learning Models Need to Be Sector Experts?
Hanauer, M. X., Soebhag, A., Stam, M., & Hoogteijling, T. (2025) · doi:10.2139/ssrn.5224253 · Cited by 2
The More, the Better? Predicting Stock Returns with Local and Global Data
Cakici, N., & Zaremba, A. (2025) · doi:10.2139/ssrn.5181449 · Cited by 2
Allen, F., Kacperczyk, M. T., & Karri, S. S. K. (2026) · doi:10.2139/ssrn.6114866 · Cited by 1
Metadata
- Authors
- Chen, L., Pelger, M., & Zhu, J.
- Venue
- Management Science
- Published
- 2024-02
- Volume
- 70
- Issue
- 2
- Pages
- 714-750
- ISSN
- 0025-1909 (ISSN-L)
- 1526-5501
- OpenAlex
- W2927831250
- Cited by
- 441
- References
- 46
- FWCI
- 82.49
- Type
- journal article
- Language
- en
- Open access
- closed
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