Replicating Anomalies

Kewei Hou, Chen Xue and Lu Zhang ()
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Kewei Hou: Ohio State University
Chen Xue: University of Cincinnati

Working Paper Series from Ohio State University, Charles A. Dice Center for Research in Financial Economics

Abstract: The anomalies literature is infested with widespread p-hacking. We replicate this literature by compiling a large data library with 447 anomalies. With microcaps alleviated via NYSE breakpoints and value-weighted returns, 286 anomalies (64%) including 95 out of 102 liquidity variables (93%) are insignificant at the 5% level. Imposing the t-cutoff of three raises the number of insignificance to 380 (85%). Even for the 161 significant anomalies, their magnitudes are often much lower than originally reported. Among the 161, the q-factor model leaves 115 alphas insignificant (150 with t

JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2017-06
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Citations: View citations in EconPapers (37)

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Working Paper: Replicating Anomalies (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:ecl:ohidic:2017-10

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