False discoveries in the anomaly research: New insights from the Stock Exchange of Melbourne (1927–1987)
Nusret Cakici,
Adam Zaremba (adam.zaremba@ue.poznan.pl),
Robert J. Bianchi and
Nga Pham
Pacific-Basin Finance Journal, 2021, vol. 70, issue C
Abstract:
Are equity anomalies a product of p-hacking in the asset pricing literature? To shed new light on this question, we perform a true out-of-sample study of 30 well-known anomalies in the cross-section of returns. We replicate these anomalies in a novel hand-collected dataset of firms listed on the historical Stock Exchange of Melbourne in the years 1926 to 1987. The vast majority of return-predictive signals cannot be confirmed. Those which are observed are commonly driven by small firms with marginal economic significance. Only a handful of anomalies survive our tests, namely, the dividend yield, value uncertainty, and short-term residual reversal effects. Overall, our findings support the view that many anomalies are statistical artifacts resulting from data mining.
Keywords: Equity anomalies; Replication; Factor investing; Financial history; Australia; Stock Exchange of Melbourne; Asset pricing; Return predictability; The cross-section of returns; False discoveries; P-hacking; Data mining (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 N27 (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations: View citations in EconPapers (2)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X21001827
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:70:y:2021:i:c:s0927538x21001827
DOI: 10.1016/j.pacfin.2021.101675
Access Statistics for this article
Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee
More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).