2025/02/03 by Shicheng Zhou, Zhou, Shicheng, Zhang, Zizhou +7 · 3 citations
Decision Sciences · Engineering · #Energy Load and Power Forecasting #FOS: Computer and information sciences #FOS: Economics and business #Forecasting Techniques and Applications #Machine Learning (cs.LG) #Statistical Finance (q-fin.ST) #Stock Market Forecasting Methods
paper · pdf · doi:10.48550/arxiv.2502.05210
openalex publication_date 2025/02/03 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper analyses the investment returns of three stock sectors, Manuf, Hitec, and Other, in the U.S. stock market, based on the Fama-French three-factor model, the Carhart four-factor model, and the Fama-French five-factor model, in order to test the validity of the Fama-French three-factor model, the Carhart four-factor model, and the Fama-French five-factor model for the three sectors of the market. French five-factor model for the three sectors of the market. Also, the LSTM model is used to explore the additional factors affecting stock returns. The empirical results show that the Fama-French five-factor model has better validity for the three segments of the market under study, and the LSTM model has the ability to capture the factors affecting the returns of certain industries, and can better regress and predict the stock returns of the relevant industries. Keywords- Fama-French model; Carhart model; Factor model; LSTM model.