https://scholars.lib.ntu.edu.tw/handle/123456789/608022
標題: | Investment styles and the multiple testing of cross-sectional stock return predictability | 作者: | Vincent K Hsu Y.-C HSIOU-WEI W. LIN |
關鍵字: | Anomalies;Cross-section of stock returns;Data-snooping bias;Multiple testing;Selective inference | 公開日期: | 2021 | 卷: | 56 | 來源出版物: | Journal of Financial Markets | 摘要: | The scheme of simultaneously testing many profitable strategies may conceal the hazard of data-snooping bias. However, certain portfolio returns are also more likely to exhibit codependency because of their same investment styles. Aiming at the phenomena of stock return anomalies, we consider two multiple testing approaches: one ignores the classification of portfolios and the other utilizes such information. The results based on grouped multiple testing suggest that the implied adjusted critical values for t-statistics may vary across investment styles, and several statistically significant portfolios may be unidentified under the pooled setup. ? 2020 Elsevier B.V. |
URI: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85090572337&doi=10.1016%2fj.finmar.2020.100598&partnerID=40&md5=ad988505f8ed2e091d09d999259d172c https://scholars.lib.ntu.edu.tw/handle/123456789/608022 |
ISSN: | 13864181 | DOI: | 10.1016/j.finmar.2020.100598 |
顯示於: | 國際企業學系 |
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