Recent Trends in Empirical Finance

8 Pages Posted: 3 Aug 2015 Last revised: 4 Aug 2015

See all articles by Marcos Lopez de Prado

Marcos Lopez de Prado

AQR Capital Management, LLC; Cornell University - Operations Research & Industrial Engineering; RCC - Harvard University

Date Written: August 1, 2015

Abstract

Financial economics is a surprisingly prolific, topic redundant, asocial field, where most papers go largely ignored. Author collaboration improves scientific output, and yet financial economics seems to be one of the least cooperative empirical fields. If these trends continue, financial economics may be in the path to become a pathological science, a collection of “cold fusion” claims.

Keywords: Econometrics, reproducibility, false positive, selection bias, multiple testing, empirical analysis

JEL Classification: G0, G1, G2, G15, G24, E44

Suggested Citation

López de Prado, Marcos, Recent Trends in Empirical Finance (August 1, 2015). Journal of Portfolio Management, Vol. 41, No. 4, 2015 Forthcoming. Available at SSRN: https://ssrn.com/abstract=2638760

Marcos López de Prado (Contact Author)

AQR Capital Management, LLC ( email )

One Greenwich Plaza
Greenwich, CT 06830
United States

HOME PAGE: http://www.aqr.com

Cornell University - Operations Research & Industrial Engineering ( email )

237 Rhodes Hall
Ithaca, NY 14853
United States

HOME PAGE: http://www.orie.cornell.edu

RCC - Harvard University ( email )

1875 Cambridge Street
Cambridge, MA 02138
United States

HOME PAGE: http://www.rcc.harvard.edu

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