We develop an estimator for publication bias adjusted returns and apply it to 156 replications of published long-short portfolio returns. Bias-adjusted returns are only 12.3% smaller than sample returns with a standard error of 1.7 percentage points. The small bias comes from the dispersion of...

We develop an estimator for publication bias and apply it to 156 hedge portfolios based on published cross-sectional return predictors. Publication bias adjusted returns are only 12% smaller than in-sample returns. The small bias comes from the dispersion of returns across predictors, which is...

We provide data and code that successfully reproduces nearly all crosssectional stock return predictors. Unlike most metastudies, we carefully examine the original papers to determine whether our predictability tests should produce t-stats above 1.96. For the 180 predictors that were clearly...

Mining 29,000 accounting ratios for t-statistics over 2.0 leads to cross-sectional predictability similar to the peer review process. For both methods, about 50% of predictability remains after the original sample periods. Data mining generates other features of peer review including the rise in...

We provide data and code that successfully reproduces nearly all crosssectional stock return predictors. Our 319 characteristics draw from previous meta-studies, but we differ by comparing our t-stats to the original papers' results. For the 161 characteristics that were clearly significant in...

A unified framework for understanding asset prices and aggregate fluctuations is critical for understanding both issues. I show that a real business cycle model with external habit preferences and capital adjustment costs provides one such framework. The estimated model matches the first two...