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 …

We propose a model selection method to systematically evaluate the contribution to asset
pricing of any new factor, above and beyond what a high‐dimensional set of existing factors …

Hundreds of papers and factors attempt to explain the cross-section of expected returns.
Given this extensive data mining, it does not make sense to use the usual criteria for …

We take up Cochrane's (2011) challenge to identify the firm characteristics that provide
independent information about average US monthly stock returns by simultaneously …

This study seeks to inform investment academics and practitioners by describing and
analyzing the population of return predictive signals (RPS) publicly identified over the 40 …

Long-short anomaly returns are strongly related to the day of the week. Anomalies for which
the speculative leg is the short (long) leg experience the highest (lowest) returns on Monday …

The asset pricing literature has produced hundreds of potential risk factors. Organizing this
“zoo of factors” and distinguishing between useful, useless, and redundant factors require …

News reports carrying positive or negative sentiment about a firm influence its stock market
performance. This study examines how two firm-controllable marketing factors, advertising …

The maximum daily return over the previous month (MAX) of Bali et al.(2011) is a strong and
significant predictor of future stock returns in non-US equity markets. Once it is controlled for …

This paper tests how institutional herding affects future excess stock returns in China's stock
market. By employing a hand-collected institutional holding database, we create the herding …