The History of the Cross Section of Stock Returns
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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
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美国国家经济研究局创建时间：
2016-12-01
