Work

Equity duration in China: A deep learning approach

Year: 2025

Type: article

Abstract: We propose a method to estimate equity duration using convolutional neural network. We find that the duration long-short portfolio annual returns based on this duration that we estimate in Chinese stock market are 20.43% for equal-weighted and 18.24% for value-weighted respectively. We empirically demonstrate that this long-short portfolio return is: (i) strong even after firm size is controlled; and (ii)significant after risk is adjusted. Then, we form a new value factor based on the duration, which subsumes the book-tomarket ratio and price-earnings ratio. We shed light on the equity duration in Chinese market and the application of neural network in estimating firm cash flow and equity duration.

Source: International Review of Economics & Finance

DOI: 10.1016/j.iref.2025.104551

Authors: Zhirun You, Yachun Gao, Jun Hu

Institutions: University of Electronic Science and Technology of China, Southwestern University of Finance and Economics

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $1,930

Funders: National Natural Science Foundation of China, Ministry of Education of the People's Republic of China, Department of Science and Technology of Sichuan Province