Jegadeesh and Titman (1993) document individual stock momentum: strategies that buy stocks that have performed relatively well in the past and sell stocks that have performed relatively poorly in the past generate significant positive returns over the 3to 12-month horizon. This finding, obtained using data from the U.S. market, also holds for a number of international markets [e.g., Haugen and ...

The redesign of asset pricing models failed to integrate the frequent financial phenomenon that stock markets exhibit a non-linear long- and short-term memory structure. difficulty lies in developing nonlinear structure capable depicting influence variable. This paper presents Long- Short-Term Memory Neural Network Model (LSTM) capture among five elements Chinese market, including market portfo...

This paper establishes an econometric framework to construct a systematic risk factor from textual data, by linking a beta pricing model with a language model based on machine learning techniques. In this framework, the distributions of stock returns and words in associated documents are determined by a common underlying systematic risk factor (text-implied risk). The exposure to the text-impli...

This paper develops a new framework and tools, and reexamines Fama-French regressions. For Fama-French portfolios, we consider a continuous-time factor model with a specific error component structure implied by the underlying asset pricing theory. The model is then analyzed as a continuous-time multivariate regression with a general martingale differential error, allowing for time-varying and s...

This paper establishes an econometric framework to construct a systematic risk factor from textual data, by linking a beta pricing model with a language model based on machine learning techniques. In this framework, the distributions of stock returns and words in associated documents are determined by a common underlying systematic risk factor (text-implied risk). The exposure to the text-impli...

It is a common wisdom that individual stocks’ returns are difficult to predict, though in many situations it is important to have such estimates at our disposal. In particular, they are needed to determine the cost of capital. Market equilibrium models posit that expected returns are proportional to the sensitivities to systematic risk factors. Fama and French (1993) three-factor model explains...