... and the Cross-Section of Expected Returns

被引：339

作者：

Harvey, Campbell R. ^{[1
]}

Liu, Yan ^{[2
]}

Zhu, Heqing ^{[3
]}

机构：

[1] Duke Univ, Natl Bur Econ Res, Durham, NC 27708 USA

[2] Texas A&M Univ, College Stn, TX 77843 USA

[3] Univ Oklahoma, Norman, OK 73019 USA

来源：

REVIEW OF FINANCIAL STUDIES | 2016年 / 29卷 / 01期

关键词：

FALSE DISCOVERY RATE; CAPITAL-ASSET PRICES; FINANCIAL STATEMENT ANALYSIS; MULTIPLE TEST PROCEDURES; STOCK RETURNS; CONSUMPTION RISK; EMPIRICAL-BAYES; SHORT SALES; MARKET EQUILIBRIUM; IDIOSYNCRATIC VOLATILITY;

D O I：

10.1093/rfs/hhv059

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：5 / 68

页数：64

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