Can I read New Framework for Testing Expected Returns on EtoBox?

New Framework for Testing Expected Returns by Igor is a document available to read on EtoBox.

What is New Framework for Testing Expected Returns about?

The paper introduces a new multiple testing framework to evaluate the significance of factors explaining the cross-section of expected returns, suggesting a higher t-statistic threshold of 3.0 due to extensive data mining in financial research. It critiques the traditional significance levels and emphasizes the need for a more rigorous approach to avoid false findings in financial economics. The study also provides a historical analysis of empirical tests and a taxonomy of factors, aiming to set benchmarks

Author

Igor

Language

EN