Anomalies and false rejections

Chordia, Tarun, Goyal, Amit and Saretto, Alessio 2020, Anomalies and false rejections, Review of financial studies, vol. 33, no. 5, pp. 2134-2179, doi: 10.1093/rfs/hhaa018.

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Title Anomalies and false rejections
Author(s) Chordia, Tarun
Goyal, Amit
Saretto, Alessio
Journal name Review of financial studies
Volume number 33
Issue number 5
Start page 2134
End page 2179
Total pages 46
Publisher Oxford University Press
Place of publication Oxford, Eng.
Publication date 2020-05
ISSN 0893-9454
1465-7368
Keyword(s) Hypothesis Testing: General
Asset Pricing
Trading volume
Bond Interest Rates
Summary Abstract We use information from over 2 million trading strategies randomly generated using real data and from strategies that survive the publication process to infer the statistical properties of the set of strategies that could have been studied by researchers. Using this set, we compute t-statistic thresholds that control for multiple hypothesis testing, when searching for anomalies, at 3.8 and 3.4 for time-series and cross-sectional regressions, respectively. We estimate the expected proportion of false rejections that researchers would produce if they failed to account for multiple hypothesis testing to be about 45%.
Language eng
DOI 10.1093/rfs/hhaa018
Indigenous content off
Field of Research 1401 Economic Theory
1402 Applied Economics
1502 Banking, Finance and Investment
HERDC Research category C1.1 Refereed article in a scholarly journal
Persistent URL http://hdl.handle.net/10536/DRO/DU:30142055

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Finance
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Created: Wed, 23 Sep 2020, 15:33:20 EST

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