... risk premium Pockets of predictability Replication Methodological uncertainty Research design Aggregate market returns G11 G12 G14 G17 National Science Center of Poland Grant No. 2022/45/B/HS4/00451 Adam Zaremba acknowledges the support of the National Science Center...

... 2024 17 04 2024 © 2026 Emerald Publishing Limited 2026 Emerald Publishing Limited Licensed re-use rights only Market Beta Estimation International Stock Markets C58 G11 G12 G14 G15 G17 This paper evaluates the predictive and hedging performance of 11 market beta...

... Peter Smith 2023 Russell P. Robins and Geoffrey Peter Smith Licensed re-use rights only Volatility feedback effect Replication study G11 G12 G17 Lying at the heart of the asset pricing literature, French et al. (1987) (hereafter FSS) pose a question central to the discipline...

... Licensed re-use rights only Extreme returns Lottery-like payoffs Gambling Overreaction Reversal G11 G17 G12 Perhaps the most interesting technical stock trading anomaly since Jegadeesh and Titman’s (1993) momentum effect is Bali et al.’s (2011) (henceforth BCW) MAX effect...

...-of-sample Utility gains G12 G17 There is extensive academic research on the predictability of the equity premium. In 2008, Welch and Goyal (2008) showed that a plethora of suggested prediction models did not reliably forecast the equity premium in an out-of-sample setting. Since...

.... Harvey Licensed re-use rights only Replication 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...