Multiple Testing and the Researcher’s Trap foundational
Why searching many ideas makes false discoveries and overstated winners inevitable.
Why searching many ideas makes false discoveries and overstated winners inevitable.
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References
Most claimed statistical findings in cross-sectional return predictability are likely true
Andrew Y. Chen
(2024)
Type I and Type II Errors of the Sharpe Ratio under Multiple Testing
Marcos López de Prado
(2022)
— The Journal of Portfolio Management
...and the Cross-Section of Expected Returns
Campbell R. Harvey, Yan Liu, Heqing Zhu
(2016)
— Review of Financial Studies