… and the Cross-Section of Expected Returns
On 17 May, 2017 By admin 0 Comments
Campbell R. Harvey, Yan Liu, Heqing Zhu
October, 2014
Abstract:
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.
Resource Type: