... estimate is upward biased because of a potential chance result in the original research decisions. Value premium HML portfolio Research decisions Chance result Statistical biases G10 G11 G12 G14 C1 C2 The value premium compensates investors for a unit exposure to the value factor...

.... Cooper, and Feng Zhang Licensed re-use rights only Beta Alpha Investment horizon Simulations G10 G23 Investors select portfolio weights and researchers test asset pricing models relying on estimates of the parameters that describe the probability distributions of returns...

..., Phil Dybvig, Monika Piazzesi, as well as an anonymous referee for useful comments. All remaining errors are my own. © 2025 Heber Farnsworth 2025 Heber Farnsworth Licensed re-use rights only Mutual fund flows Active and passive management G10 G11 G12 Flows in and out...

..., The Hong Kong Polytechnic University (P0042708). © 2023 Seongkyu Gilbert Park, K. C. John Wei and Linti Zhang 2023 Seongkyu Gilbert Park, K. C. John Wei and Linti Zhang Licensed re-use rights only Idiosyncratic volatility Look-ahead bias EGARCH G10 G12 We next sort all...

... Influential observations Replication G10 G11 G12 There is a long-running debate over whether diseconomies of scale exist in the actively managed mutual fund industry. ¹ This debate centers on the idea that money flows disproportionately into actively managed funds with the highest...

... Research Council of Canada (SSHRC). © 2022 C. Martineau 2022 C. Martineau Licensed re-use rights only Earnings announcements Market efficiency Post-earnings announcement drifts Price discovery G10 G12 G14 Price formation to firm earnings news has been subject to a large...

... for providing code and data. © 2022 Bryan Kelly and Seth Pruitt 2022 Hyuna Park Licensed re-use rights only Return prediction Present value model Partial least squares Three-pass regression filter G10 G12 G14 G35 Throughout we refer to Kelly and Pruitt (2013) as “KP”. We also...

... of the Board of Governors of the Federal Reserve or the Federal Reserve System. © 2022 Andrew Y. Chen and Tom Zimmermann 2022 Andrew Y. Chen and Tom Zimmermann Licensed re-use rights only Stock market anomalies Replication Asset pricing G10 G12 *First posted to SSRN: May 18, 2020...

... at UCLA Anderson and the Bank of England for helpful comments. © 2022 Andrea L. Eisfeldt et al. 2022 Andrea L. Eisfeldt et al. Licensed re-use rights only Value investing Value factor Intangible assets Intangible capital G1 G10 G11 E22 Value investing requires...

... and Rebecca Wasyk 2021 Andrew Y. Chen, Fabian Winkler and Rebecca Wasyk Licensed re-use rights only Long run risks Rare disasters Habit Bayesian estimation Particle filter Time-varying beliefs Time-varying preferences Excess volatility G10 G12 E21 E30 E44 C11 C15...

... market volatility rather than returns (Ni et al., 2008). ² G10 G11 G12 The main alternative predictor is the analysts’ forecasts dispersion (AFD) of Yu (2011). Figure 1 plots DISP and AFD, both standardized to have zero mean and variance one for easier comparison...

... Research Culture Hard misconduct Soft misconduct Proprietary data Robustness P-hacking Reverse p-hacking Falsification Fabrication Plagiarism G00 G01 G10 G11 G12 G13 G14 G15 G17 G18 G19 G21 G22 G23 G24 G28 G29 G31 G32 G33 My role in advocating for data and code...

... G14 G10 Much of today’s research in academic finance relies and builds upon empirical results presented in earlier studies. Many highly cited studies have influenced entire lines of subsequent research. Assessing the accuracy of these early results is essential to maintaining the integrity...

... period. * I thank Haim Mendelson for helpful comments and suggestions and Di Wu for competent research assistance. © 2019 Yakov Amihud 2019 Yakov Amihud Licensed re-use rights only Liquidity and asset pricing Illiquidity measure Liquidity shocks Liquidity premium G10 G12...

... Paper. No. 2016 - 46 . Pástor , L. , R. F. Stambaugh , and L. A. Taylor . 2015 . “ Scale and Skill in Active Management ”. Journal of Financial Economics . 116 (1): 23 – 45 . Diseconomies of scale Mutual fund Liquidity Influential observations Outliers G10 G11...

... and the final S-scale estimate is from the subset with the smallest scale. After obtaining the S-estimator, MM-estimator is computed via an iteratively reweighted algorithm. Diseconomies of scale Mutual fund Liquidity Influential observations Outliers G10 G11 G12 The potential...

.... Smith 2016 R. P. Robins and G. P. Smith Licensed re-use rights only Weekend effect Structural break G10 G14 G19 Table 1 reports descriptive statistics for daily returns on the equal- and value-weight market portfolios. Table 1 Weekday returns on CRSP NYSE stock market...