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Cited by 989

The DOI matches its Crossref record; 175 of the 175 references it cites were found in a registry or an index.

Replicating Anomalies

Hou, Kewei, Xue, Chen, Zhang, Lu·2020·The Review of Financial Studies
DOI 10.1093/rfs/hhy131
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Abstract

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. Received June 12, 2017; editorial decision October 29, 2018 by Editor Stijn Van Nieuwerburgh. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

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Citations

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Research works printed but not linked: 6

  1. Baker,, 2016, Is there a reproducibility crisis?, Nature, 533, 452
  2. Chen,, 2002, Voluntary disclosure of balance sheet information in quarterly earnings announcements, Journal of Accounting and Economics, 33, 229, 10.1016/S0165-4101(02)00043-5 · doi:10.1016/s0165-4101(02)00043-5
  3. Da,, 2011, The disparity between long-term and short-term forecasted earnings growth, Journal of Financial Economics, 100, 424, 10.1016/j.jfineco.2010.10.015 · doi:10.1016/j.jfineco.2010.10.015
  4. Fama,, 1976, Foundations of Finance
  5. Harvey,, 2018, Lucky factors
  6. Schwert,, 2003, Anomalies and market efficiency, 937

Cited by

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Metadata

Authors
Hou, K., Xue, C., & Zhang, L.
Venue
The Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
2018-12-10
Volume
33
Issue
5
Pages
2019-2133
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/rfs/hhy131
OpenAlex
W4211134865
Cited by
989
References
175
FWCI
76.38
Type
journal article
Language
en
Open access
closed
Licence
academic.oup.com/journals/pages/open_access/funder_policies/chorus/standard_publication_model (vor)

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Hou, K., Xue, C., & Zhang, L. (2020). Replicating Anomalies. The Review of Financial Studies. https://doi.org/10.1093/rfs/hhy131

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