Replicating Anomalies

• 成果类型: Article
• 署名作者: Hou, Kewei; Xue, Chen; Zhang, Lu
• 署名单位: University System of Ohio; Ohio State University; University System of Ohio; University of Cincinnati; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy131
• 发表日期: 2020
• 页码: 2019
• 关键词: cross-section; stock returns; financial constraints; ANALYSTS FORECASTS; FUTURE EARNINGS; DELISTING BIAS; market value; firm growth; RISK; INFORMATION

摘要

Most anomalies fail to hold up to currently acceptable standards for empirical finance. With microcaps mitigated via NYSE breakpoints and value-weighted returns, 65% of the 452 anomalies in our extensive data library, including 96% of the trading frictions category, cannot clear the single test hurdle of the absolute t-value of 1.96. Imposing the higher multiple test hurdle of 2.78 at the 5% significance level raises the failure rate to 82%. Even for replicated anomalies, their economic magnitudes are much smaller than originally reported. In all, capital markets are more efficient than previously recognized.