Firm similarity from accounting ratios can generate momentum spillover signals, and a QCML-learned similarity reports higher backtested Sharpe ratios than Euclidean similarity.
The relationship between earnings’ yield, market value and return for nyse common stocks: Further evidence.Journal of Financial Economics, 12(1):129–156, 1983
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Supervised Similarity for Firm Linkages
Firm similarity from accounting ratios can generate momentum spillover signals, and a QCML-learned similarity reports higher backtested Sharpe ratios than Euclidean similarity.