This is a past event
The seminar will be heldvia MS Teams on November 1st from 1500 – 1615 (1h talk & 15mins Q&A).
Join Dr Jiaqi Guo, Assistant Professor in Finance at the University of Birmingham to hear more on empirical decisions and replication anomalies.
Abstract: "There is an ongoing debate about the reproducibility of anomalies and p-hacking (data mining) of anomaly discoveries. This paper simulates and evaluates the impact of empirical decisions on anomaly replication and p-hacking. To better capture the true anomaly effect, we aggregate its return across 96 portfolio construction designs, avoiding dependence on any particular design. We develop a two-stage bootstrap approach to account for both sampling and empirical design variations and show that 70% of the published 173 anomalies can be replicated. Furthermore, we simulate anomaly discoveries through p-hacking activities and publication bias behavior. The findings indicate the existence of p-hacking attempts especially when the t-value threshold is 2 but the extent of p-hacking is not severe in anomaly studies.”
- Speaker
- Dr Jiaqi Guo
- Hosted by
- University of Aberdeen Business School
- Contact
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No booking required.