G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w20592
来源IDWorking Paper 20592
. . . and the Cross-Section of Expected Returns
Campbell R. Harvey; Yan Liu; Heqing Zhu
发表日期2014-10-20
出版年2014
语种英语
摘要Hundreds of papers and hundreds of factors attempt to explain the cross-section of expected returns. Given this extensive data mining, it does not make any economic or statistical sense to use the usual significance criteria for a newly discovered factor, e.g., a t-ratio greater than 2.0. However, what hurdle should be used for current research? Our paper introduces a multiple testing framework and provides a time series of historical significance cutoffs from the first empirical tests in 1967 to today. Our new method allows for correlation among the tests as well as missing data. We also project forward 20 years assuming the rate of factor production remains similar to the experience of the last few years. The estimation of our model suggests that a newly discovered factor needs to clear a much higher hurdle, with a t-ratio greater than 3.0. Echoing a recent disturbing conclusion in the medical literature, we argue that most claimed research findings in financial economics are likely false.
主题Econometrics ; Estimation Methods ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing ; Corporate Finance
URLhttps://www.nber.org/papers/w20592
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/578266
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GB/T 7714
Campbell R. Harvey,Yan Liu,Heqing Zhu. . . . and the Cross-Section of Expected Returns. 2014.
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