The Review of Asset Pricing Studies Vol. 10 No. 2 2020
Publication Bias and the Cross-Section of Stock Returns
Abstract
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.
- DOI
- 10.1093/rapstu/raz011
- Volume
- 10
- Issue
- 2
- Pages
- 249-289
- Language
- en
- Sources
- bibtex:phds-export.bib crossref openalex