Open access
Sep 2026
Cross-Sectional Return Prediction in China’s A-Share Market Based on Lasso and XGBoost: A Comparison with the Fama–MacBeth Multi-Factor Model
The intrinsic mechanism of multi-indicator deviation is explained, the applicable boundaries of factor dimensionality of different models are defined, and a reference for target lightweight modeling for small and medium-sized institutions is provided.
Xi-Chun Zhang
· Financial Economics Research · 0 citations