... and the Cross-Section of Expected Returns

• 成果类型: Article
• 署名作者: Harvey, Campbell R.; Liu, Yan; Zhu, Heqing
• 署名单位: National Bureau of Economic Research; Duke University; Texas A&M University System; Texas A&M University College Station; University of Oklahoma System; University of Oklahoma - Norman
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhv059
• 发表日期: 2016
• 页码: 5
• 关键词: false discovery rate; CAPITAL-ASSET PRICES; FINANCIAL STATEMENT ANALYSIS; MULTIPLE TEST PROCEDURES; stock returns; Consumption risk; EMPIRICAL-BAYES; SHORT SALES; Market equilibrium; idiosyncratic volatility

摘要

Hundreds of papers and factors attempt to explain the cross-section of expected returns. Given this extensive data mining, it does not make sense to use the usual criteria for establishing significance. Which hurdle should be used for current research? Our paper introduces a new multiple testing framework and provides historical cutoffs from the first empirical tests in 1967 to today. A new factor needs to clear a much higher hurdle, with a t-statistic greater than 3.0. We argue that most claimed research findings in financial economics are likely false.