⋯ and the Cross-Section of Expected Returns
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, Scholarly Edition
Harvey, CR; Liu, Y; Zhu, H
January 1, 2016
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.
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Publication Date
January 1, 2016
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5 / 68
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1402 Applied Economics
- 1401 Economic Theory
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Harvey, C. R., Liu, Y., & Zhu, H. (2016). ⋯ and the Cross-Section of Expected Returns. https://doi.org/10.1093/rfs/hhv059
Harvey, C. R., Y. Liu, and H. Zhu. “⋯ and the Cross-Section of Expected Returns,” January 1, 2016. https://doi.org/10.1093/rfs/hhv059.
Harvey CR, Liu Y, Zhu H. ⋯ and the Cross-Section of Expected Returns. 2016. p. 5–68.
Harvey, C. R., et al. ⋯ and the Cross-Section of Expected Returns. 1 Jan. 2016, pp. 5–68. Scopus, doi:10.1093/rfs/hhv059.
Harvey CR, Liu Y, Zhu H. ⋯ and the Cross-Section of Expected Returns. 2016. p. 5–68.
DOI
Publication Date
January 1, 2016
Start / End Page
5 / 68
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1402 Applied Economics
- 1401 Economic Theory