Linnainmaa, Juhani T. - 2016
Using data spanning the 20th century, we show that most accounting-based return anomalies are spurious. When examined … out-of-sample by moving either backward or forward in time, anomalies' average returns decrease, and volatilities and … correlations with other anomalies increase. The data-snooping problem is so severe that even the true asset pricing model is …
