Anomalies

[NOTE:*This entry is based on the article “Replicating Anomalies” (SSRN, updated in June 2017, ** https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2961979]*** Finance academics have started to take replication studies seriously. As hundreds of factors have been documented in recent decades, the concern over p-hacking has become especially acute. In a pioneering meta-study, Harvey, Liu, and Zhu (2016) introduce a multiple testing framework into empirical asset pricing.