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政大典藏 > College of Commerce > Department of Money and Banking > Periodical Articles > Item 140.119/140786

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/140786

Title:	Investment Styles and the Multiple Testing of Cross-Sectional Stock Return Predictability
Authors:	羅秉政 KendroVincent Hsu, Yu-Chin;Lin, Hsiou-Wei
Contributors:	金融系
Keywords:	Anomalies;Cross-section of stock returns;Data-snooping bias;Multiple testing;Selective inference
Date:	2021-11
Issue Date:	2022-07-05 16:34:53 (UTC+8)
Abstract:	The scheme of simultaneously testing many profitable strategies may conceal the hazard of data-snooping bias. However, certain portfolio returns are also more likely to exhibit codependency because of their same investment styles. Aiming at the phenomena of stock return anomalies, we consider two multiple testing approaches: one ignores the classification of portfolios and the other utilizes such information. The results based on grouped multiple testing suggest that the implied adjusted critical values for t-statistics may vary across investment styles, and several statistically significant portfolios may be unidentified under the pooled setup.
Relation:	Journal of Financial Markets, Vol.56, pp.1-24
Data Type:	article
DOI link:	https://doi.org/10.1016/j.finmar.2020.100598
DOI:	10.1016/j.finmar.2020.100598
Appears in Collections:	[Department of Money and Banking] Periodical Articles

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