FYI: A paper by Campbell R. Harvey, Yan Liu, and Heqing Zhu with the unexciting title “…and the Cross-
Section of Expected Returns” has been drawing a lot of attention recently. This is not only because of
the paper’s startling revelation that at least 315 “factors” of investment returns have been discovered
through multiple regressions and published in hundreds of articles and working papers. That
phenomenon was already characterized in a 2011 paper by John H. Cochrane and called a “zoo” of
factors. It is also because Harvey et al.’s work sounds the same alarm for finance research that was
sounded in 2005 for medical research in a famous article by John P. A. Ioannidis, “Why Most
Published Research Findings Are False.”
Regards,
Ted
(Click On PDF)
http://www.advisorperspectives.com/articles/2015/08/18/why-you-shouldn-t-trust-most-financial-research
