arXiv 21 Apr 2022 · Finance — General · publishedManagement Science (2024) · 4 citations (OpenAlex)
arXiv:2204.10275 · PDF · DOI · OpenAlex · Extracted main text
Many scholars have called for raising statistical hurdles to guard against false discoveries in academic publications. I show these calls may be difficult to justify empirically. Published data exhibit bias: results that fail to meet existing hurdles are often unobserved. These unobserved results must be extrapolated, which can lead to weak identification of revised hurdles. In contrast, statistics that can target only published findings (e.g. empirical Bayes shrinkage and the FDR) can be strongly identified, as data on published findings is plentiful. I demonstrate these results theoretically and in an empirical analysis of the cross-sectional return predictability literature.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Chen, A.Y., Zimmermann, T (2020) Publication bias and the cross-section of stock returns self | 1.000 | 14 | 4 | 100% |
| 2 | Harvey, C.R., Liu, Y (2021) Uncovering the iceberg from its tip: A model of publication bias and p-hacking | 1.000 | 9 | 4 | 100% |
| 3 | Andrews, I., Kasy, M (2019) Identification of and correction for publication bias | 1.000 | 6 | 4 | 100% |
| 4 | Chen, A.Y (2021) Most claimed statistical findings in cross-sectional return predictability are likely true self | 1.000 | 6 | 3 | 100% |
| 5 | Jensen, T.I., Kelly, B.T., Pedersen, L.H., Forthcoming Is there a replication crisis in finance? | 1.000 | 6 | 3 | 100% |
| 6 | Chen, A.Y., Zimmermann, T (2022) Open source cross sectional asset pricing self | 0.961 | 9 | 5 | 89% |
| 7 | McLean, R.D., Pontiff, J (2016) Does academic research destroy stock return predictability? | 0.928 | 5 | 4 | 80% |
| 8 | Harvey, C.R., Liu, Y., Zhu, H (2016) and the cross-section of expected returns | 0.874 | 12 | 2 | 100% |
| 9 | Benjamini, Y., Hochberg, Y (1995) Controlling the false discovery rate: a practical and powerful approach to multiple testing | 0.874 | 11 | 2 | 100% |
| 10 | Efron, B (2012) Large-scale inference: empirical Bayes methods for estimation, testing, and prediction | 0.874 | 7 | 2 | 100% |
Showing the top 10 of 52 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | High-Throughput Asset Pricing | 0.405 | 1 | 1 |