Publication Bias and the Cross-Section of Stock Returns
73 Pages Posted: 30 Jun 2016 Last revised: 9 May 2018
Date Written: May 3, 2018
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 13% smaller than in-sample returns. The small bias comes from the dispersion in returns across predictors, which is too large to be accounted for by data-mined noise. Among predictors that can survive journal review, a low t-stat hurdle of 1.8 controls for multiple testing using statistics recommended by Harvey, Liu, and Zhu (2015). The estimated bias is too small to account for the deterioration in returns after publication, suggesting an important role for mispricing.
Keywords: Stock return anomalies, publication bias, data mining, mispricing
JEL Classification: G10, G12
Suggested Citation: Suggested Citation