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Graph ML for Asset Pricing: Traversing the Supply Chain
TL;DR: Firms don't live in isolation — their stock returns depend on who they buy from and sell to. We build a Graph Neural Network that propagates firm characteristics up to 3 hops along the supply chain, achieving 16%+ out-of-sample Sharpe ratio gains over direct-link models and beating Fama-French five-factor benchmarks.
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