The History of the Cross-Section of Stock Returns

• 成果类型: Article
• 署名作者: Linnainmaa, Juhani T.; Roberts, Michael R.
• 署名单位: University of Southern California; National Bureau of Economic Research; University of Pennsylvania
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy030
• 发表日期: 2018
• 页码: 2606
• 关键词: PRESIDENTIAL-ADDRESS; FINANCIAL RATIOS; AVERAGE RETURNS; DELISTING BIAS; MARKET; INVESTMENT; performance; INFORMATION; prediction; anomalies

摘要

Using data spanning the twentieth century, we show that the majority of accounting-based return anomalies, including investment, are most likely an artifact of data snooping. When examined out-of-sample by moving either backward or forward in time, the average returns and Sharpe ratios of most anomalies decrease, whereas their volatilities and correlations with other anomalies increase. The few anomalies that do persist out-of-sample correlate with the shift from investment in physical capital to intangible capital and the increasing reliance on debt financing over the twentieth century.