CB-APM treats analyst consensus as a sufficient statistic bottleneck inside a neural network, producing stock-return forecasts whose portfolios show monotonic returns and priced risk not captured by standard factor models.
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Interpretable Deep Learning for Stock Returns: A Consensus-Bottleneck Asset Pricing Model
CB-APM treats analyst consensus as a sufficient statistic bottleneck inside a neural network, producing stock-return forecasts whose portfolios show monotonic returns and priced risk not captured by standard factor models.