Universität zu Köln

Chen, Andrew Y. and Zimmermann, Tom (2020). Publication Bias and the Cross-Section of Stock Returns. Rev. Asset Pricing Stud., 10 (2). S. 249 - 290. OXFORD: OXFORD UNIV PRESS. ISSN 2045-9939

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Abstract

We develop an estimator for publication bias-adjusted returns and apply it to 156 published long-short portfolios. Our adjustment uses only in-sample data and provides sharper inferences than out-of-sample tests. Bias-adjusted returns are only 12.3% smaller than in-sample returns with a standard error of 1.7 percentage points. The small bias comes from the dispersion of returns across predictors, which is too large to be explained by data-mined noise. The bias is much smaller than post-publication decay (p-value .0001), suggesting mispricing is important. Our results offer a different perspective about recent papers that find most published predictors are likely false.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Chen, Andrew Y. UNSPECIFIED UNSPECIFIED UNSPECIFIED Zimmermann, Tom UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-331091
DOI:	10.1093/rapstu/raz011
Journal or Publication Title:	Rev. Asset Pricing Stud.
Volume:	10
Number:	2
Page Range:	S. 249 - 290
Date:	2020
Publisher:	OXFORD UNIV PRESS
Place of Publication:	OXFORD
ISSN:	2045-9939
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language PERFORMANCE Multiple languages Business, Finance Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/33109