Regression and Forecasting of U.S. Stock Returns Based on LSTM

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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.