Firm similarity from accounting ratios can generate momentum spillover signals, and a QCML-learned similarity reports higher backtested Sharpe ratios than Euclidean similarity.
Shared analyst coverage: Unifying momentum spillover effects.Journal of Financial Economics, 136(3):649–675, 2020
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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.