Forecasting earnings and returns: A review of recent advancements

Abstract

We selectively review recent advancements in research on predictive models of earnings and returns. We discuss why applying statistical, econometric, and machine learning advancements to forecasting earnings and returns presents difficult challenges. In the context of these challenges, we discuss recent papers that confront the challenges and present promising advancements and paths for future research.

Keywords

• Earnings
• Returns
• Machine learning
• Uncertainty
• Measurement error
• Forecasting