Real-Time Profitability of Published Anomalies: An Out-of-Sample Test

What is it about?

The issue-by-issue literature review procedure used in this article to rule out not only the data-snooping bias but also the "model-snooping" bias is explained in more detail in Chapter One of Zhijian's 2008 dissertation at Penn State | https://etda.libraries.psu.edu/paper/8524/3806 The issue-by-issue literature review procedure is also described in the 2008 version of the paper posted on SSRN . The trading strategy proposed in this study is equivalent to factor timing with cross-sectional predictors

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Why is it important?

The trading strategy proposed in this study is equivalent to factor timing with cross-sectional predictors. The issue-by-issue literature review procedure used in this article helps rule out not only the data-snooping bias but also the "model-snooping" bias.