Firm similarity from accounting ratios can generate momentum spillover signals, and a QCML-learned similarity reports higher backtested Sharpe ratios than Euclidean similarity.
Barbee, Sandip Mukherji, and Gary A
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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.