We find that weak identification can lead to econometric problems with Fama-MacBeth regressions, including serious size distortions and biased point estimates. Two sources of weak identification are particularly important and have been little studied in the finance literature – small betas and...

This paper suggests Monte Carlo multiple test procedures which are provably valid in finite samples. These include combination methods originally proposed for independent statistics and further improvements which formalize statistical practice. We also adapt the Monte Carlo test method to...