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Data-mined Anomalies and the Expected Market Return

https://doi.org/10.2139/ssrn.5340983
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Time‐series and Cross‐sectional Stock Return Forecasting: New Machine Learning Methods
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Improved methods of combining forecasts
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Stock Returns and the Term Structure
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Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives
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Forecasting Stock Market Return with Anomalies: Evidence from China
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Have capital market anomalies attenuated in the recent era of high liquidity and trading activity?
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Approximately normal tests for equal predictive accuracy in nested models
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The three-pass regression filter: A new approach to forecasting using many predictors
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Forecasting stock market returns: The sum of the parts is more than the whole
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A trend factor: Any economic gains from using information over investment horizons?
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Short interest and aggregate stock returns
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Size matters, if you control your junk
inferredcites →https://doi.org/10.1016/j.jfineco.2018.10.001openalex-snapshot
Manager sentiment and stock returns
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Market efficiency in the age of big data
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The market for borrowing stock
inferredcites →https://doi.org/10.1017/s0022109021000090openalex-snapshot
Investor Attention and Stock Returns
inferredcites →https://doi.org/10.1017/s0022109022000266openalex-snapshot
Do Cross-Sectional Predictors Contain Systematic Information?
inferredcites →https://doi.org/10.1017/s0022109022000874openalex-snapshot
Zeroing In on the Expected Returns of Anomalies
inferredcites →https://doi.org/10.1086/374184openalex-snapshot
Liquidity Risk and Expected Stock Returns
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A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction
inferredcites →https://doi.org/10.1093/rfs/hhm014openalex-snapshot
A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
inferredcites →https://doi.org/10.1093/rfs/hhm046openalex-snapshot
The Dog That Did Not Bark: A Defense of Return Predictability
inferredcites →https://doi.org/10.1093/rfs/hhm055openalex-snapshot
Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
inferredcites →https://doi.org/10.1093/rfs/hhu080openalex-snapshot
Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
inferredcites →https://doi.org/10.1093/rfs/hhw102openalex-snapshot
Aggregation of Information About the Cross Section of Stock Returns: A Latent Variable Approach
inferredcites →https://doi.org/10.1093/rfs/hhx019openalex-snapshot
The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns
inferredcites →https://doi.org/10.1093/rof/rfad025openalex-snapshot
Do Anomalies Really Predict Market Returns? New Data and New Evidence
inferredcites →https://doi.org/10.1093/rof/rfae027openalex-snapshot
Cross-sectional expected returns: new Fama–MacBeth regressions in the era of machine learning
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The Limits of Arbitrage
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The Cross‐Section of Volatility and Expected Returns
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Presidential Address: Discount Rates
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Market Expectations in the Cross‐Section of Present Values
inferredcites →https://doi.org/10.1111/jofi.12365openalex-snapshot
Does Academic Research Destroy Stock Return Predictability?
inferredcites →https://doi.org/10.1111/jofi.13099openalex-snapshot
Anomalies and the Expected Market Return
inferredcites →https://doi.org/10.1111/jofi.13249openalex-snapshot
Is There a Replication Crisis in Finance?
inferredcites →https://doi.org/10.1287/mnsc.2013.1838openalex-snapshot
Forecasting the Equity Risk Premium: The Role of Technical Indicators
inferredcites →https://doi.org/10.1561/104.00000112openalex-snapshot
Open Source Cross-Sectional Asset Pricing
inferredcites →https://doi.org/10.2139/ssrn.3612922openalex-snapshot
Employee Sentiment and Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.4250903openalex-snapshot
Employee Sentiment and Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.5101577openalex-snapshot
Anomalies and Links to Market Return Predictability: Supranational Evidence Based on New Market Efficiency Measures
inferredcites →https://doi.org/10.2307/2329366openalex-snapshot
On the Predictability of Stock Returns: An Asset-Allocation Perspective
inferredcites →https://doi.org/10.3386/w4997openalex-snapshot
On the Predictability of Stock Returns: An Asset-Allocation Perspective
inferredcites →https://doi.org/10.48550/arxiv.2502.10008openalex-snapshot
ChatGPT and Deepseek: Can They Predict the Stock Market and Macroeconomy?
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