The History of the Cross Section of Stock Returns
收藏NBER2016-12-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w22894
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资源简介：
Using data spanning the 20th century, we show that most accounting-based return anomalies are spurious. When examined out-of-sample by moving either backward or forward in time, anomalies' average returns decrease, and volatilities and correlations with other anomalies increase. The data-snooping
提供机构：
美国国家经济研究局
创建时间：
2016-12-01
