Equity duration in China: A deep learning approach

Zhirun You, Yachun Gao and Jun Hu

International Review of Economics & Finance, 2025, vol. 103, issue C

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-to-market 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.

Keywords: Equity duration; Neural network; Value and profitability premia; Anomalies; Asset pricing (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 G14 G15 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:103:y:2025:i:c:s1059056025007142

DOI: 10.1016/j.iref.2025.104551

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