70 anos de erros nas pesquisas em Finanças

Segundo ex-editor do Journal of Finance e ex-presiente da Associação Americana de Finanças: “most claimed research findings in financial economics are likely false” .

Resumo:

Hundreds of papers and factors attempt to explain the cross-section of expected returns. Given this extensive data mining, it does not make sense to use the usual criteria for establishing significance. Which hurdle should be used for current research? Our paper introduces a new multiple testing framework and provides historical cutoffs from the first empirical tests in 1967 to today. A new factor needs to clear a much higher hurdle, with a t-statistic greater than 3.0. We argue that most claimed research findings in financial economics are likely false.

Harvey, Campbell R. and Liu, Yan and Zhu, Heqing, …and the Cross-Section of Expected Returns (February 3, 2015). Review of Economic Studies