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Thousands of Alpha Tests

In: Big Data: Long-Term Implications for Financial Markets and Firms

Citations

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Cited by:

  1. Hollstein, Fabian, 2022. "The world of anomalies: Smaller than we think?," Journal of International Money and Finance, Elsevier, vol. 129(C).
  2. Guillaume Coqueret, 2023. "Forking paths in financial economics," Papers 2401.08606, arXiv.org.
  3. Campbell R. Harvey & Yan Liu, 2020. "False (and Missed) Discoveries in Financial Economics," Journal of Finance, American Finance Association, vol. 75(5), pages 2503-2553, October.
  4. Schneider, Matthew J. & Rankin, Rufus & Burman, Prabir & Aue, Alexander, 2025. "Benchmarking M6 competitors: An analysis of financial metrics and discussion of incentives," International Journal of Forecasting, Elsevier, vol. 41(4), pages 1383-1394.
  5. Constantinos Kardaras & Hyeng Keun Koo & Johannes Ruf, 2022. "Estimation of growth in fund models," Papers 2208.02573, arXiv.org.
  6. Huang, Haitao & Jiang, Lei & Leng, Xuan & Peng, Liang, 2023. "Bootstrap analysis of mutual fund performance," Journal of Econometrics, Elsevier, vol. 235(1), pages 239-255.
  7. Lee, Hsiu-Chuan & Lee, Yun-Huan & Nguyen, Cuong, 2023. "Tail comovements of implied volatility indices and global index futures returns predictability," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
  8. Pätäri, Eero & Ahmed, Sheraz & Luukka, Pasi & Yeomans, Julian Scott, 2023. "Can monthly-return rank order reveal a hidden dimension of momentum? The post-cost evidence from the U.S. stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 65(C).
  9. Guanhao Feng & Wei Lan & Hansheng Wang & Jun Zhang, 2026. "Selecting and Testing Asset Pricing Models: A Stepwise Approach," Papers 2601.10279, arXiv.org.
  10. Zhu, Lin & Jiang, Fuwei & Tang, Guohao & Jin, Fujing, 2024. "From macro to micro: Sparse macroeconomic risks and the cross-section of stock returns," International Review of Financial Analysis, Elsevier, vol. 95(PB).
  11. Yu, Xiufan & Yao, Jiawei & Xue, Lingzhou, 2024. "Power enhancement for testing multi-factor asset pricing models via Fisher’s method," Journal of Econometrics, Elsevier, vol. 239(2).
  12. Li, Ang & Liu, Mark & Sheather, Simon, 2023. "Predicting stock splits using ensemble machine learning and SMOTE oversampling," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
  13. Penaranda, Francisco & Sentana, Enrique, 2024. "Portfolio management with big data," CEPR Discussion Papers 19314, C.E.P.R. Discussion Papers.
  14. Colak, Gonul & Fu, Mengchuan & Hasan, Iftekhar, 2022. "On modeling IPO failure risk," Economic Modelling, Elsevier, vol. 109(C).
  15. Nabil Bouamara & S'ebastien Laurent & Shuping Shi, 2023. "Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications," Papers 2303.13406, arXiv.org, revised Jun 2023.
  16. Andrew Y. Chen, 2022. "Most claimed statistical findings in cross-sectional return predictability are likely true," Papers 2206.15365, arXiv.org, revised Nov 2025.
  17. Daniele Massacci & Lucio Sarno & Lorenzo Trapani & Pierluigi Vallarino, 2025. "A General Randomized Test for Alpha," Tinbergen Institute Discussion Papers 25-045/III, Tinbergen Institute.
  18. Smith, Simon C., 2022. "Time-variation, multiple testing, and the factor zoo," International Review of Financial Analysis, Elsevier, vol. 84(C).
  19. Umar, Zaghum & Zaremba, Adam & Umutlu, Mehmet & Mercik, Aleksander, 2024. "Interaction effects in the cross-section of country and industry returns," Journal of Banking & Finance, Elsevier, vol. 165(C).
  20. Guanhao Feng & Stefano Giglio & Dacheng Xiu, 2020. "Taming the Factor Zoo: A Test of New Factors," Journal of Finance, American Finance Association, vol. 75(3), pages 1327-1370, June.
  21. Djogbenou, Antoine A. & Hounyo, Ulrich, 2025. "Misspecification-robust bootstrap t-test for irrelevant factor in linear stochastic discount factor models," Journal of Econometrics, Elsevier, vol. 252(PA).
  22. Andrew Y. Chen, 2022. "Do t-Statistic Hurdles Need to be Raised?," Papers 2204.10275, arXiv.org, revised Apr 2024.
  23. Niels Joachim Gormsen & Eben Lazarus, 2023. "Duration‐Driven Returns," Journal of Finance, American Finance Association, vol. 78(3), pages 1393-1447, June.
  24. Ge, Shuyi & Li, Shaoran & Linton, Oliver, 2023. "News-implied linkages and local dependency in the equity market," Journal of Econometrics, Elsevier, vol. 235(2), pages 779-815.
  25. Ai He & Guofu Zhou, 2023. "Diagnostics for asset pricing models," Financial Management, Financial Management Association International, vol. 52(4), pages 617-642, December.
  26. Minshuo Chen & Renyuan Xu & Yumin Xu & Ruixun Zhang, 2025. "Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure," Papers 2504.06566, arXiv.org, revised Jan 2026.
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