There are now a large and rapidly growing number of studies that test the constancy of stock return anomalies. In this study, we produce new and convincing evidence that the standard constancy test is heavily influenced by selection bias. Backed by a carefully designed Monte Carlo simulation, we...

We replicate French, Schwert, and Stambaugh (1987) (FSS) with up-to-date data and new tools from the modern toolbox of econometric methods. As we proceed, we highlight the main technical details and econometric methods from the original study and, when necessary, update them. While our main goal...