| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20592 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w20592 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578266 |
| 推荐引用方式 GB/T 7714 | Campbell R. Harvey,Yan Liu,Heqing Zhu. . . . and the Cross-Section of Expected Returns. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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