Azevedo, Vitor; Hoegner, Christopher - In: Review of Quantitative Finance and Accounting 60 (2022) 1, pp. 195-230
Abstract We examine the predictability of 299 capital market anomalies enhanced by 30 machine learning approaches and over 250 models in a dataset with more than 500 million firm-month anomaly observations. We find significant monthly (out-of-sample) returns of around 1.8–2.0%, and over 80% of...
