⋯ and the Cross-Section of Expected Returns

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Scholarly Edition

© 2015 The Author. 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.

Full Text

Cited Authors

  • Harvey, CR; Liu, Y; Zhu, H

Published Date

  • January 1, 2016

Start / End Page

  • 5 - 68

Digital Object Identifier (DOI)

  • 10.1093/rfs/hhv059

Citation Source

  • Scopus