Fieberg, Christian; Metko, Daniel; Poddig, Thorsten; … - In: OR Spectrum 45 (2022) 1, pp. 289-323
cross-sectional stock return forecasting, with that of machine learning methods, i.e., penalized linear models, support … prediction of stock returns can be decisively improved through machine learning methods. The outperformance of individual … (combined) machine learning models over the benchmark model is approximately 0.6% (0.7%) per month for the full cross-section of …