No more free lunch: The increasing popularity of machine learning and financial market efficiency

References

• Ang, Andrew, and Geert Bekaert. 2007. “Stock Return Predictability: Is It There?” The Review of Financial Studies 20 (3): 651–707.
   Web of Science ®Google Scholar
• Baker, Malcolm, and Jeffrey Wurgler. 2006. “Investor Sentiment and the Cross-section of Stock Returns.” The Journal of Finance 61 (4): 1645–1680.
   Web of Science ®Google Scholar
• Bali, Turan G., Amit Goyal, Dashan Huang, Fuwei Jiang, and Quan Wen. 2021. “Different Strokes: Return Predictability across Stocks and Bonds with Machine Learning and Big Data.” https://ssrn.com/abstract=3686164
   Google Scholar
• Campbell, John Y. 1987. “Stock Returns and the Term Structure.” Journal of Financial Economics 18 (2): 373–399.
   Web of Science ®Google Scholar
• Campbell, John Y., and Tuomo Vuolteenaho. 2004. “Inflation Illusion and Stock Prices.” American Economic Review 94 (2): 19–23.
   Web of Science ®Google Scholar
• Cho, Thummim. 2020. “Turning Alphas into Betas: Arbitrage and Endogenous Risk.” Journal of Financial Economics 137 (2): 550–570.
   Web of Science ®Google Scholar
• Cybenko, George. 1989. “Approximation by Superpositions of a Sigmoidal Function.” Mathematics of Control, Signals and Systems 2 (4): 303–314.
   Google Scholar
• Driesprong, Gerben, Ben Jacobsen, and Benjamin Maat. 2008. “Striking Oil: Another Puzzle?” Journal of Financial Economics 89 (2): 307–327.
   Web of Science ®Google Scholar
• Fama, Eugene F., and Kenneth R. French. 1989. “Business Conditions and Expected Returns on Stocks and Bonds.” Journal of Financial Economics 25 (1): 23–49.
   Web of Science ®Google Scholar
• Fama, Eugene F., and Kenneth R. French. 1993. “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics 33 (1): 3–56.
   Web of Science ®Google Scholar
• Fama, Eugene F., and G. William Schwert. 1977. “Asset Returns and Inflation.” Journal of Financial Economics 5 (2): 115–146.
   Web of Science ®Google Scholar
• Feng, Guanhao, Stefano Giglio, and Dacheng Xiu. 2020. “Taming the Factor Zoo: A Test of New Factors.” The Journal of Finance 75 (3): 1327–1370.
   Web of Science ®Google Scholar
• Friedman, Milton. 1953. “The Case for Flexible Exchange Rates.” In Essays in Positive Economics, edited by Milton Friedman, 157–203. Chicago: University of Chicago Press.
   Google Scholar
• Giglio, Stefano, Yuan Liao, and Dacheng Xiu. 2021. “Thousands of Alpha Tests.” The Review of Financial Studies 34 (7): 3456–3496.
   Web of Science ®Google Scholar
• Green, Jeremiah, John R. Hand, and X. Frank Zhang. 2013. “The Supraview of Return Predictive Signals.” Review of Accounting Studies 18 (3): 692–730.
   Web of Science ®Google Scholar
• Gu, Shihao, Bryan Kelly, and Dacheng Xiu. 2020. “Empirical Asset Pricing via Machine Learning.” The Review of Financial Studies 33 (5): 2223–2273.
   Web of Science ®Google Scholar
• Guo, Hui. 2006. “On the Out-of-Sample Predictability of Stock Market Returns.” The Journal of Business 79 (2): 645–670.
   Google Scholar
• Hornik, Kurt, Maxwell Stinchcombe, and Halbert White. 1989. “Multilayer Feedforward Networks Are Universal Approximators.” Neural Networks 2 (5): 359–366.
   Web of Science ®Google Scholar
• Huang, Shiyang, Dong Lou, and Christopher Polk. 2016. “The Booms and Busts of Beta Arbitrage.” CEPR Discussion Paper No. DP11531. https://ssrn.com/abstract=2843570
   Google Scholar
• Koijen, Ralph S., and Stijn Van Nieuwerburgh. 2011. “Predictability of Returns and Cash Flows.” Annual Review of Financial Economics 3 (1): 467–491.
   Google Scholar
• Kozak, Serhiy, Stefan Nagel, and Shrihari Santosh. 2020. “Shrinking the Cross-section.” Journal of Financial Economics 135 (2): 271–292.
   Web of Science ®Google Scholar
• Lettau, Martin, and Sydney Ludvigson. 2001. “Consumption, Aggregate Wealth, and Expected Stock Returns.” The Journal of Finance 56 (3): 815–849.
   Web of Science ®Google Scholar
• Lintner, John. 1965. “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets.” Review of Economics and Statistics 47 (1): 13–37.
   Web of Science ®Google Scholar
• Lou, Dong, and Christopher Polk. 2022. “Comomentum: Inferring Arbitrage Activity from Return Correlations.” The Review of Financial Studies 35 (7): 3272–3302.
   Web of Science ®Google Scholar
• Nelson, Charles R. 1976. “Inflation and Rates of Return on Common Stocks.” The Journal of Finance 31 (2): 471–483.
   Web of Science ®Google Scholar
• Newey, Whitney K., and Kenneth D. West. 1987. “A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica 55 (3): 703–708.
   Web of Science ®Google Scholar
• Rapach, David, and Guofu Zhou. 2013. “Forecasting Stock Returns.” In Handbook of Economic Forecasting, Vol. 2, edited by Graham Elliott, Clive Granger, and Allan Timmermann, 328–383. Amsterdam: Elsevier.
   Google Scholar
• Santos, Tano, and Pietro Veronesi. 2006. “Labor Income and Predictable Stock Returns.” The Review of Financial Studies 19 (1): 1–44.
   Web of Science ®Google Scholar
• Sharpe, William F. 1964. “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.” The Journal of Finance 19 (3): 425–442.
   Web of Science ®Google Scholar
• Stambaugh, Robert F., Jianfeng Yu, and Yu Yuan. 2012. “The Short of It: Investor Sentiment and Anomalies.” Journal of Financial Economics 104 (2): 288–302.
   Web of Science ®Google Scholar
• Tibshirani, Robert. 1996. “Regression Shrinkage and Selection via the Lasso.” Journal of the Royal Statistical Society B58 (1): 267–288.
   Google Scholar
• Welch, Ivo, and Amit Goyal. 2008. “A Comprehensive Look at the Empirical Performance of Equity Premium Prediction.” The Review of Financial Studies 21 (4): 1455–1508.
   Web of Science ®Google Scholar