False discoveries in the anomaly research: New insights from the Stock Exchange of Melbourne (1927–1987)

Description

Based on the novel hand-collected dataset of firms listed on the historical Stock Exchange of Melbourne in the years 1926 to 1987 that MCFS manages, we perform a true out-of-sample study of 30 well-known anomalies in the cross-section of returns. The vast majority of return-predictive signals cannot be confirmed. Only the dividend yield, value uncertainty, and short-term residual reversal effects survive the tests.

Published paper

Nusret Cakici, Adam Zaremba, Robert J. Bianchi, Nga Pham, False discoveries in the anomaly research: New insights from the Stock Exchange of Melbourne (1927–1987), Pacific-Basin Finance Journal, Volume 70, 2021, 101675, ISSN 0927-538X, https://doi.org/10.1016/j.pacfin.2021.101675.

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