We study the cross-section of stock returns using a novel constructed database of U.S. stocks covering 61 years of additional and independent data. Our database contains data on stock prices, dividends and hand-collected market capitalizations for 1,488 major stocks between 1866-1926. Results...

Non-standard errors capture uncertainty due to variation in research design choices. We study the importance of differential design choices in constructing asset pricing factors. By purposely data mining over 250 different versions of each factor, we find that Sharpe ratios exhibit substantial...