2 papers
q-fin.GN2026
What Useful Alphas?
Andrew Y. Chen, Ivo Welch
This paper examines about 200 published long-short anomaly equity portfolios (Chen and Zimmermann, 2022). Over the period through 2005 (December 2005 and earlier) and across all st…
q-fin.GN2025
Does Peer-Reviewed Research Help Predict Stock Returns?
Andrew Y. Chen, Alejandro Lopez-Lira, Tom Zimmermann
Mining 29,000 accounting ratios for t-statistics leads to cross-sectional return predictability similar to the peer review process. For both, of predictabilit…