Firm similarity from accounting ratios can generate momentum spillover signals, and a QCML-learned similarity reports higher backtested Sharpe ratios than Euclidean similarity.
Asness, Roger B
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.ST 1years
2025 1verdicts
CONDITIONAL 1representative citing papers
citing papers explorer
-
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.