The anomalies literature is infested with widespread p-hacking. We replicate the entire anomalies literature in finance and accounting by compiling a largest-to-date data library that contains 447 anomaly variables. With microcaps alleviated via New York Stock Exchange breakpoints and value-weighted returns, 286 anomalies (64%) including 95 out of 102 liquidity variables (93%) are insignificant at the conventional 5% level. Imposing the cutoff t-value of three raises the number of insignificance to 380 (85%). Even for the 161 significant anomalies, their magnitudes are often much lower than originally reported. Out of the 161, the q-factor model leaves 115 alphas insignificant (150 with t < 3). In all, capital markets are more efficient than previously recognized.
We have benefited from helpful discussions with Stijn van Nieuwerburgh and René Stulz. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.
Kewei Hou & Chen Xue & Lu Zhang & Stijn Van Nieuwerburgh, 2020. "Replicating Anomalies," The Review of Financial Studies, vol 33(5), pages 2019-2133.