The large effects of small compounded adjustments : Principles and applications to equity return prediction
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9 février 2024
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- handle: 10670/1.jvyzjd
- hal: hal-04484998
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p-hacking robustnesschecks forkingpathsSujets proches
Theme with variations Theme and variations Musical variations Prediction Forecasts Futurology Equity--Law and legislation ChanceryCiter ce document
Guillaume Coqueret, « The large effects of small compounded adjustments : Principles and applications to equity return prediction », HAL-SHS : économie et finance, ID : 10670/1.jvyzjd
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This article discusses the importance of small variations in the implementation protocol of applied studies. We advocate the usefulness of reporting a wide range of outcomes in empirical work, based on many variations of design choices. This allow to characterize the effects more exhaustively and leads to more robust conclusions. We illustrate these ideas in two studies: one on equity premium prediction and one on portfolio sorts (asset pricing anomalies).