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Replicating Anomalies
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DOI：10.1093/rfs/hhy131.png)
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Most anomalies fail to hold up to currently acceptable standards for empirical finance. With microcaps mitigated via NYSE breakpoints and value-weighted returns, 65% of the 452 anomalies in our extensive data library, including 96% of the trading frictions category, cannot clear the single test hurdle of the absolute t-value of 1.96. Imposing the higher multiple test hurdle of 2.78 at the 5% significance level raises the failure rate to 82%. Even for replicated anomalies, their economic magnitudes are much smaller than originally reported. In all, capital markets are more efficient than previously recognized.
Keyword:
CROSS-SECTION
STOCK RETURNS
FINANCIAL CONSTRAINTS
ANALYSTS FORECASTS
FUTURE EARNINGS
DELISTING BIAS
MARKET VALUE
FIRM GROWTH
RISK
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