Machine Learning vs. Economic Restrictions: Evidence from Stock Return Predictability

The authors thank Kay Giesecke (editor), the associate editor, two anonymous referees, Bryan Kelly, Michael Halling, Serhiy Kozak, Andy Neuhierl, Shujing Wang, Dacheng Xiu, and conference and seminar participants at the 2021 American Finance Association Annual Meeting, the 3rd World Symposium on Investment Research, the 2020 Midwest Finance Association Annual Meeting, the 2019 Bank of America Merrill Lynch Asia Quant Conference, the 5th International Conference on Fintech Development, the 3rd Conference on Intelligent Information Retrieval in Accounting and Finance, the 2019 China Fintech Research Conference, Baruch College, Chinese University of Hong Kong, Hong Kong Polytechnic University, Singapore Management University, University of Hong Kong, and University of Piraeus for helpful comments.