Work

Anomalies and False Rejections

Year: 2020

Type: article

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%.

Source: Review of Financial Studies

DOI: 10.1093/rfs/hhaa018

Authors: Tarun Chordia, Amit Goyal, Alessio Saretto

Institutions: Emory University, University of Lausanne, The University of Texas at Dallas

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3122244089

FWCI: 23.69

Cites: 67

Cited by: 202

Related to: 10