Replicating Anomalies

Clicks: 136
ID: 302624
2018
Free PDF
Article Quality & Performance Metrics
Overall Quality
Not rated
Combines reader engagement with the AI quality analysis. This article has not been analysed, so there is no overall score — reader engagement is measured and shown alongside.
AI Quality Assessment
Not analyzed
Readership in this journal
Emerging

Ranked #2 of 195 articles by views in review of financial studies

Most read Least read

Bar heights use a square-root scale. Only the 120 most-read articles are drawn; the journal has 195 in total.

Mint this article as an NFT
Not yet minted

Create a permanent, verifiable on-chain record of this article on the Scimatic Network. The NFT is held in your Journament account, and you can withdraw it to your own wallet at any time.

5 SUSD one-off · no wallet required
Sign in to mint
Abstract
Abstract Most anomalies fail to hold up to currently acceptable standards for empirical finance. With microcaps mitigated via NYSE breakpoints and value-weighted returns, 65% of the 452 anomalies in our extensive data library, including 96% of the trading frictions category, cannot clear the single test hurdle of the absolute $t$-value of 1.96. Imposing the higher multiple test hurdle of 2.78 at the 5% significance level raises the failure rate to 82%. Even for replicated anomalies, their economic magnitudes are much smaller than originally reported. In all, capital markets are more efficient than previously recognized. Received June 12, 2017; editorial decision October 29, 2018 by Editor Stijn Van Nieuwerburgh. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.
Reference Key
openalex_W4211134865 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Kewei Hou, Xue Chen, Lu Zhang
Journal review of financial studies
Year 2018
DOI
10.1093/rfs/hhy131
URL
https://doi.org/10.1093/rfs/hhy131
Keywords Keywords not found

Citations

No citations found. To add a citation, contact the admin at info@scimatic.org

Comments

No comments yet. Be the first to comment on this article.