Cakici, Nusret; Zaremba, Adam; Bianchi, Robert J.; Pham, Nga - 2021
Are equity anomalies a product of p-hacking in the asset pricing literature? To shed new light on this question, we perform a true out-of-sample study of 30 well-known anomalies in the cross-section of returns. We replicate these anomalies in a novel hand-collected dataset of firms listed on the...