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The large effects of small compounded adjustments: Principles and applications to equity return prediction
Journal article

The large effects of small compounded adjustments: Principles and applications to equity return prediction

Guillaume Coqueret
Bankers, Markets and Investors, Vol.174(3), pp.54-59
09/02/2024

Abstract

p-hacking robustnesschecks forkingpaths
This article discusses the importance of small variations in the implementation protocol of applied studies. We advocate the usefulness of reporting a wide range of outcomes in empirical work, based on many variations of design choices. This allow to characterize the effects more exhaustively and leads to more robust conclusions. We illustrate these ideas in two studies: one on equity premium prediction and one on portfolio sorts (asset pricing anomalies).
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https://www.cairn.info/revue-bankers-markets-et-investors-2023-3-page-54.htmlView

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