Huang, Jing-Zhi; Huang, Zhijian - In: Quarterly Journal of Finance (QJF) 03 (2013) 03, pp. 1350016-1
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...