---
title: Stock Return Forecasting with Machine Learning
url: https://www.ml-quant.com/papers/repec/eee-jfinec-v-153-y-2024-i-c-s0304405x2400014x/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:eee:jfinec:v:153:y:2024:i:c:s0304405x2400014x
source_url: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.sciencedirect.com%2Fscience%2Farticle%2Fpii%2FS0304405X2400014X%3Bh%3Drepec%3Aeee%3Ajfinec%3Av%3A153%3Ay%3A2024%3Ai%3Ac%3As0304405x2400014x
featured: 2024-03-06
citations: unknown
topic: Econometrics & Forecasting
---


# Stock Return Forecasting with Machine Learning

The article uses machine learning to predict stock returns, challenging the efficient market hypothesis due to its strong predictive power. It also shows that machine learning models are effective in out-of-sample performance.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.sciencedirect.com%2Fscience%2Farticle%2Fpii%2FS0304405X2400014X%3Bh%3Drepec%3Aeee%3Ajfinec%3Av%3A153%3Ay%3A2024%3Ai%3Ac%3As0304405x2400014x
- Identifier: RePEc:eee:jfinec:v:153:y:2024:i:c:s0304405x2400014x
- Released: 2024-03-06
- First featured: Quant Letter No. 39 (2024-03-06): https://www.ml-quant.com/issues/2024-03-06/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Econometrics & Forecasting

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