The big league effect Available to Purchase

This study is critical of implausible stock return effects. Among these are studies linking stock returns to extreme climate variables, outer space, politics, religious observances, sports results, weather conditions and other peculiar phenomena. The author argues that these effects are just predetermined outcomes of endogenous treatment assignments, not true causal effects. To demonstrate, The author “discovers” a new implausible effect called the big league effect. Win-loss records of NY’s two professional baseball teams predict excess returns on well-known anomaly strategies. New critical values are calculated by Monte Carlo simulation where the treatment assignment follows a Bernoulli distribution with endogenous success probability. These new critical values expose the big league effect as just an artifact of the sample selection mechanism.