Information Aggregation and P-Hacking
Abstract
This paper studies the interplay between information aggregation and p-hacking in the context of predicting stock returns. The standard information-aggregation techniques exacerbate p-hacking by increasing the probability of the type I error. We propose an aggregation technique that is a simple modification of three-pass regression filter/partial least squares regression with an opposite property: the predictability tests applied to the combined...
Paper Details
Title
Information Aggregation and P-Hacking
Published Date
Apr 1, 2020
Journal
Volume
66
Issue
4
Pages
1605 - 1626
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