Publication Bias and the Cross-Section of Stock Returns
Andrew Y Chen,
Tom Zimmermann and
The Review of Asset Pricing Studies, 2020, vol. 10, issue 2, 249-289
We develop an estimator for publication bias-adjusted returns and apply it to 156 published long-short portfolios. Our adjustment uses only in-sample data and provides sharper inferences than out-of-sample tests. Bias-adjusted returns are only 12.3% smaller than in-sample returns with a standard error of 1.7 percentage points. The small bias comes from the dispersion of returns across predictors, which is too large to be explained by data-mined noise. The bias is much smaller than post-publication decay (p-value ¡.0001), suggesting mispricing is important. Our results offer a different perspective about recent papers that find most published predictors are likely false. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.
JEL-codes: G10 G12 (search for similar items in EconPapers)
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Working Paper: Publication Bias and the Cross-Section of Stock Returns (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:oup:rasset:v:10:y:2020:i:2:p:249-289.
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