Empirical evidence on the out-of-sample performance of asset-pricing anomalies is mixed so far and arguably is often subject to data-snooping bias. This paper proposes a method that can significantly reduce this bias. Specifically, we consider a long-only strategy that involves only published...

Previous studies show mixed results about the out-of-sample performance of various asset-pricing anomalies. To reduce data-snooping bias, this paper simulates a real-time trader who chooses among all asset-pricing anomalies published prior to that time using only non-forward-looking filters. I...