Verlag:
The Ohio State University, Fisher College of Business, Charles A. Dice Center for Research in Financial Economics, [Columbus, Ohio]
The anomalies literature is infested with widespread p-hacking. We replicate this literature by compiling a large data library with 447 anomalies. With microcaps alleviated via NYSE breakpoints and value-weighted returns, 286 anomalies (64%)...
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ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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The anomalies literature is infested with widespread p-hacking. We replicate this literature by compiling a large data library with 447 anomalies. With microcaps alleviated via NYSE breakpoints and value-weighted returns, 286 anomalies (64%) including 95 out of 102 liquidity variables (93%) are insignificant at the 5% level. Imposing the t-cutoff 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. Among the 161, the q-factor model leaves 115 alphas insignificant (150 with t < 3). In all, capital markets are more efficient than previously recognized
Working papers series / Charles A. Dice Center for Research in Financial Economics ; WP 2017, 10
Fisher College of Business Working Paper ; No. 2017-03-010
Fisher College of Business working paper series ; WP 2017-03-010
