["International Journal of Finance &Economics, EarlyView. ", "\nABSTRACT\nStock market return prediction has long been a focal point within the realm of financial research. This study introduces a novel series of energy consumption indicators, predicated on economic constraints, to forecast stock market excess returns. Empirical results indicate that these newly constructed indicators are instrumental in predicting excess returns. Moreover, the combination models consistently outperform other competing models, especially under the constraint method based on the Sharpe ratio. We also highlight that energy consumption indicators maintain robust performance during periods of financial turbulence, such as the financial crisis and the COVID‐19 pandemic, with a notable emphasis on non‐renewable energy consumption from the commercial sector. Our findings offer valuable insights into forecasting stock market returns from an energy consumption perspective.\n"]