… and the Cross-Section of Expected Returns

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ID: 291361
2015
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Abstract
Hundreds of papers and factors attempt to explain the cross-section of expected returns. Given this extensive data mining, it does not make sense to use the usual criteria for establishing significance. Which hurdle should be used for current research? Our paper introduces a new multiple testing framework and provides historical cutoffs from the first empirical tests in 1967 to today. A new factor needs to clear a much higher hurdle, with a t-statistic greater than 3.0. We argue that most claimed research findings in financial economics are likely false. Received October 22, 2014; accepted June 15, 2015 by Editor Andrew Karolyi.
Reference Key
openalex_W4211170237 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Campbell R. Harvey, Yan Liu, Caroline Zhu
Journal review of financial studies
Year 2015
DOI
10.1093/rfs/hhv059
URL
https://academic.oup.com/rfs/article-pdf/29/1/5/24450794/hhv059.pdf
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