Presidential Address: The Scientific Outlook in Financial Economics

• 成果类型: Article
• 署名作者: Harvey, Campbell R.
• 署名单位: Duke University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12530
• 发表日期: 2017
• 页码: 1399-1440
• 关键词: P-VALUES; TOO GOOD; equilibrium; tests; STOCK; statistics; hypothesis; RISK; BIAS

摘要

Given the competition for top journal space, there is an incentive to produce significant results. With the combination of unreported tests, lack of adjustment for multiple tests, and direct and indirect p-hacking, many of the results being published will fail to hold up in the future. In addition, there are basic issues with the interpretation of statistical significance. Increasing thresholds may be necessary, but still may not be sufficient: if the effect being studied is rare, even t > 3 will produce a large number of false positives. Here I explore the meaning and limitations of a p-value. I offer a simple alternative (the minimum Bayes factor). I present guidelines for a robust, transparent research culture in financial economics. Finally, I offer some thoughts on the importance of risk-taking (from the perspective of authors and editors) to advance our field.