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Transfer Learning for Expected Returns

https://doi.org/10.2139/ssrn.4345646
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-3-030-01424-7_27openalex-extracted
A Survey on Deep Transfer Learning
inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-extracted
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/0893-6080(89)90020-8openalex-extracted
Multilayer feedforward networks are universal approximators
inferredcites →https://doi.org/10.1016/j.jfineco.2010.08.014openalex-extracted
Maxing out: Stocks as lotteries and the cross-section of expected returns
inferredcites →https://doi.org/10.1016/j.jfineco.2011.07.001openalex-extracted
Religious beliefs, gambling attitudes, and financial market outcomes
inferredcites →https://doi.org/10.1016/j.jfineco.2018.05.006openalex-extracted
Size matters, if you control your junk
inferredcites →https://doi.org/10.1016/j.jfineco.2019.05.001openalex-extracted
Characteristics are covariances: A unified model of risk and return
inferredcites →https://doi.org/10.1016/j.jfineco.2019.06.008openalex-extracted
Shrinking the cross-section
inferredcites →https://doi.org/10.1016/s1386-4181(01)00024-6openalex-extracted
Illiquidity and stock returns: cross-section and time-series effects
inferredcites →https://doi.org/10.1017/s0022109017000928openalex-extracted
A Lottery-Demand-Based Explanation of the Beta Anomaly
inferredcites →https://doi.org/10.1080/0015198x.2018.1547057openalex-extracted
Comparing Cost-Mitigation Techniques
inferredcites →https://doi.org/10.1093/revfin/hhm011openalex-extracted
Equilibrium Underdiversification and the Preference for Skewness
inferredcites →https://doi.org/10.1093/rfs/8.2.275openalex-extracted
A Critique of Size-Related Anomalies
inferredcites →https://doi.org/10.1093/rfs/hhaa009openalex-extracted
Empirical Asset Pricing via Machine Learning
inferredcites →https://doi.org/10.1093/rfs/hhaa020openalex-extracted
Factors That Fit the Time Series and Cross-Section of Stock Returns
inferredcites →https://doi.org/10.1093/rfs/hhae044openalex-extracted
A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction
inferredcites →https://doi.org/10.1093/rfs/hhm014openalex-extracted
A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
inferredcites →https://doi.org/10.1093/rfs/hhp041openalex-extracted
Expected Idiosyncratic Skewness
inferredcites →https://doi.org/10.1093/rfs/hhv063openalex-extracted
A Taxonomy of Anomalies and Their Trading Costs
inferredcites →https://doi.org/10.1093/rfs/hhx084openalex-extracted
A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
inferredcites →https://doi.org/10.1093/rof/rfw007openalex-extracted
Home Bias, an Academic Puzzle
inferredcites →https://doi.org/10.1111/0022-1082.00192openalex-extracted
The Delisting Bias in CRSP's Nasdaq Data and Its Implications for the Size Effect
inferredcites →https://doi.org/10.1111/0022-1082.00209openalex-extracted
Characteristics, Covariances, and Average Returns: 1929 to 1997
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00836.xopenalex-extracted
The Cross‐Section of Volatility and Expected Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01415.xopenalex-extracted
Estimating the Intertemporal Risk–Return Tradeoff Using the Implied Cost of Capital
inferredcites →https://doi.org/10.1111/j.1540-6261.2010.01575.xopenalex-extracted
Predictive Regressions: A Present‐Value Approach
inferredcites →https://doi.org/10.1111/jofi.13249openalex-extracted
Is There a Replication Crisis in Finance?
inferredcites →https://doi.org/10.1146/annurev-financial-101521-104735openalex-extracted
Factor Models, Machine Learning, and Asset Pricing
inferredcites →https://doi.org/10.1257/aer.98.5.2066openalex-extracted
Stocks as Lotteries: The Implications of Probability Weighting for Security Prices
inferredcites →https://doi.org/10.2139/ssrn.1262416openalex-extracted
Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns
inferredcites →https://doi.org/10.2139/ssrn.1356733openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.2725981openalex-extracted
A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
inferredcites →https://doi.org/10.2139/ssrn.3211106openalex-extracted
Factors That Fit the Time Series and Cross-Section of Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.3450322openalex-extracted
Machine Learning Versus Economic Restrictions: Evidence from Stock Return Predictability
inferredcites →https://doi.org/10.2139/ssrn.3624052openalex-extracted
Can Machines 'Learn' Finance?
inferredcites →https://doi.org/10.2139/ssrn.3771261openalex-extracted
The Implied Equity Term Structure
inferredcites →https://doi.org/10.2139/ssrn.3805379openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.4292028openalex-extracted
Empirical Asset Pricing via Ensemble Gaussian Process Regression
inferredcites →https://doi.org/10.2139/ssrn.630821openalex-extracted
Equilibrium Underdiversification and the Preference for Skewness
inferredcites →https://doi.org/10.2139/ssrn.649421openalex-extracted
Stocks as Lotteries: the Implications of Probability Weighting for Security Prices
inferredcites →https://doi.org/10.2139/ssrn.873631openalex-extracted
Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital
inferredcites →https://doi.org/10.2139/ssrn.98678openalex-extracted
Characteristics, Covariances, and Average Returns: 1929-1997
inferredcites →https://doi.org/10.2307/1912971openalex-extracted
A Note on the Use of Proxy Variables
inferredcites →https://doi.org/10.2307/2329112openalex-extracted
inferredcites →https://doi.org/10.2307/j.ctt1287kz5openalex-extracted
Irrational Exuberance
inferredcites →https://doi.org/10.3386/w29543openalex-extracted
Social Interactions and Lottery Stock Mania
inferredcites →https://doi.org/10.48550/arxiv.2210.05189openalex-extracted
Neural Networks are Decision Trees
inferredcites →https://doi.org/10.1016/j.jfineco.2021.10.006openalex-snapshot
Market efficiency in the age of big data
inferredcites →https://doi.org/10.1111/j.1540-6261.1992.tb04398.xopenalex-snapshot
The Cross-Section of Expected Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01483.xopenalex-snapshot
Who Gambles in the Stock Market?
inferredcites →https://doi.org/10.1111/jofi.12612openalex-snapshot
Interpreting Factor Models
inferredcites →https://doi.org/10.1111/jofi.12778openalex-snapshot
What Is the Expected Return on a Stock?
inferredcites →https://doi.org/10.1111/jofi.13225openalex-snapshot
Model Comparison with Transaction Costs

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Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.3536835openalex-extracted
Diverging Roads: Theory-Based vs. Machine Learning-Implied Stock Risk Premia
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