Replicating Anomalies

Kewei Hou, Chen Xue and Lu Zhang ()

No 23394, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: The anomalies literature is infested with widespread p-hacking. We replicate the entire anomalies literature in finance and accounting by compiling a largest-to-date data library that contains 447 anomaly variables. With microcaps alleviated via New York Stock Exchange breakpoints and value-weighted returns, 286 anomalies (64%) including 95 out of 102 liquidity variables (93%) are insignificant at the conventional 5% level. Imposing the cutoff t-value 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. Out of the 161, the q-factor model leaves 115 alphas insignificant (150 with t

JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2017-05
New Economics Papers: this item is included in nep-acc
Note: AP CF EFG IFM ME
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Citations: View citations in EconPapers (31)

Published as Kewei Hou & Chen Xue & Lu Zhang & Stijn Van Nieuwerburgh, 2020. "Replicating Anomalies," The Review of Financial Studies, vol 33(5), pages 2019-2133.

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Working Paper: Replicating Anomalies (2017)
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