Replicating Anomalies / Kewei Hou, Chen Xue, Lu Zhang.

Format:

Book

Author/Creator:

Hou, Kewei.

Contributor:

National Bureau of Economic Research.

Xue, Chen.

Zhang, Lu.

Series:

Working Paper Series (National Bureau of Economic Research) no. w23394.

NBER working paper series no. w23394

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2017.

Summary:

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.

Notes:

Print version record

May 2017.