Two obvious ones: [1] Fama and French, 1992. The Cross-Section of Expected Stock Returns. http://faculty.som.yale.edu/zhiwuchen/Investments/Fama-92.pdf http://

Two obvious ones: [1] Fama and French, 1992. The Cross-Section of Expected Stock Returns. http://faculty.som.yale.edu/zhiwuchen/Investments/Fama-92.pdf http://faculty.som.yale.edu/zhiwuchen/Investments/Fama-92.pd... [2] Jegadeesh and Titman, 1993. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency . https://www.jstor.org/stable/2328882 https://www.jstor.org/stable/2328882 These don't use machine learning but they do answer your question.