Selection bias and pseudo discoveries on the constancy of stock return anomalies

Robins, Russell P.; Smith, Geoffrey Peter

doi:10.1007/s11156-020-00878-w

Rev Quant Finan Acc

2020

DOI: 10.1007/s11156-020-00878-w

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Selection bias and pseudo discoveries on the constancy of stock return anomalies

Russell P. Robins

Geoffrey Peter Smith

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2021

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Cited by 1 publication

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Confirming Anomalies

Chinloy

Imes

2021

Rev. Pac. Basin Finan. Mark. Pol.

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A procedure confirms whether a return-factor correlation is anomalous or results from endogenous simultaneous-equations bias. The identification strategy sorts the cost of capital components for instruments. In the first stage, the initially found factors are regressed on cost instruments. In the second stage, a confirmed anomaly has predicted value significant in returns and exogenous. Taxes, depreciation and capital structure are strong instruments, affecting 1980–2017 quarterly U.S. stock returns. Size, value and profitability decisions are significant in instruments. Returns increase in fitted profits, but not small size. Actual and predicted values have weaker correlation with returns over time.

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Confirming Anomalies

Chinloy

Imes

2021

Rev. Pac. Basin Finan. Mark. Pol.

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Selection bias and pseudo discoveries on the constancy of stock return anomalies

Cited by 1 publication

References 42 publications

Confirming Anomalies

Confirming Anomalies

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