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The History of the Cross Section of Stock Returns / Juhani T. Linnainmaa, Michael R. Roberts.
- Format:
- Book
- Author/Creator:
- Linnainmaa, Juhani T.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w22894.
- NBER working paper series no. w22894
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2016.
- Summary:
- Using data spanning the 20th century, we show that most accounting-based return anomalies are spurious. When examined out-of-sample by moving either backward or forward in time, anomalies' average returns decrease, and volatilities and correlations with other anomalies increase. The data-snooping problem is so severe that even the true asset pricing model is expected to be rejected when tested using in-sample data. Our results suggest that asset pricing models should be tested using out-of-sample data or, when not feasible, by whether a model is able to explain half of the in-sample alpha.
- Notes:
- Print version record
- December 2016.
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