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Replicating Anomalies

Listed author(s):
  • Kewei Hou
  • Chen Xue
  • Lu Zhang
Registered author(s):

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

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 23394.

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Date of creation: May 2017
Handle: RePEc:nbr:nberwo:23394
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