| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23394 |
| 来源ID | Working Paper 23394 |
| Replicating Anomalies | |
| Kewei Hou; Chen Xue; Lu Zhang | |
| 发表日期 | 2017-05-08 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | The anomalies literature is infested with widespread p-hacking. We replicate the entire anomalies literature in finance and accounting by compiling a largest-to-date data library that contains 447 anomaly variables. With microcaps alleviated via New York Stock Exchange breakpoints and value-weighted returns, 286 anomalies (64%) including 95 out of 102 liquidity variables (93%) are insignificant at the conventional 5% level. Imposing the cutoff t-value of three raises the number of insignificance to 380 (85%). Even for the 161 significant anomalies, their magnitudes are often much lower than originally reported. Out of the 161, the q-factor model leaves 115 alphas insignificant (150 with t < 3). In all, capital markets are more efficient than previously recognized. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w23394 |
| 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/581068 |
| 推荐引用方式 GB/T 7714 | Kewei Hou,Chen Xue,Lu Zhang. Replicating Anomalies. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23394.pdf（802KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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