Replicating Anomalies -- by Kewei Hou, Chen Xue, Lu Zhang
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 < 3). In all, capital markets are more efficient than previously recognized.
http://papers.nber.org/papers/w23394.pdf
Replicating Anomalies | Kewei Hou, Chen Xue, Lu Zhang
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Dick Thaler just tweeted the following: "Misleading title. These are not replications--they exclude small caps. It is well known that anomalies are stronger there. No p-hacking."
The authors make strong claims based on previously known issues. No contribution. Classic Lu Zheng paper. Do little, claim x100.
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Dick Thaler just tweeted the following: "Misleading title. These are not replications--they exclude small caps. It is well known that anomalies are stronger there. No p-hacking."
The authors make strong claims based on previously known issues. No contribution. Classic Lu Zheng paper. Do little, claim x100.Noobie Q: is he known for this kind of stuff?