Accounting vs technical information: what matters more for stock return predictability?

• Technical data predicts stock returns better than accounting information. • Market signals yield higher returns, especially at short forecasting horizons. • Accounting strategies are cheaper to trade and better for long-term forecasts. • Technical data dominates in volatile periods and for hard-to-value companies. • Both technical and accounting data contain independent predictive content. We employ machine learning models to determine what matters more for stock return predictability: technical data or accounting information. Technical data holds an advantage—it consistently yields more accurate forecasts and higher portfolio returns. This superiority is not limited to the U.S. market but extends to major developed markets worldwide, at times showing even stronger effects. Furthermore, it remains remarkably robust across firm sizes and time periods. However, its edge is most pronounced at short horizons and comes at the cost of higher turnover. Accounting signals, while weaker overall, perform better over longer horizons and support lower-cost implementation. Finally, technical strategies excel in volatile, hard-to-value contexts, whereas accounting-based models fare better when valuation uncertainty is low.