We use machine learning tools to analyze industry return predictability based on theinformation in lagged industry returns from across the entire economy. Controlling forpost-selection inference and multiple testing, we nd significant in-sample evidence ofindustry return predictability. Lagged...

The predictability of stock returns has always been one of the core research questions in finance. This paper attempts to introduce machine learning method to answer whether stock returns are predictable in China. With 108 characteristics data in Chinese stock market from January 1997 to...

Stock returns predictability has been a long-standing topic in the literature on financial economics. Developments in prediction technology have facilitated the wide use of machine learning techniques, which motivates our study of whether stock returns predictability can be improved using...