Evaluating asset pricing anomalies: evidence from Latin America
We analyze the significance of 51 asset pricing anomalies in Latin America. We examine economic significance via portfolio simulations that dilute the effect of microcaps. To avoid reporting false discoveries, we employ a multiple hypothesis testing framework. Few anomalies are economically signific...
- Autores:
-
Berggrun, Luis
Cardona, Emilio
Lizarzaburu Bolaños, Edmundo Raúl
- Tipo de recurso:
- Article of investigation
- Fecha de publicación:
- 2024
- Institución:
- Colegio de Estudios Superiores de Administración
- Repositorio:
- Repositorio CESA
- Idioma:
- eng
- OAI Identifier:
- oai:repository.cesa.edu.co:10726/5781
- Palabra clave:
- Emerging markets
False discovery rate
Five-factor model
Meta-analysis
Portfolios
- Rights
- License
- Abierto (Texto Completo)