Review of Financial Studies Vol. 29 No. 1 2016

… and the Cross-Section of Expected Returns

Campbell R. Harvey¹; Yan Liu^2,3; Heqing Zhu

¹ National Bureau of Economic Research · ² Mitchell Institute · ³ Texas A&M University

Abstract

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.

DOI

10.1093/rfs/hhv059

Volume

29

Issue

1

Pages

5-68

Language

en

Sources

crossref bibtex:phds-export.bib openalex openalex

Cite

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