We evaluate whether machine learning methods can better model excess portfolio returns compared to the standard regression-based strategies generally used in the finance and econometric literature. We examine 17 benchmark factor model specifications based on Expected Utility Theory and theory...

The predictive ability of technical trading rules and the presence of calendar anomalies are well known, but theoretically anomalous, features of equity markets. We show that while some rules exploit calendar effects they are primarily being driven by other factors.