this article is such a buzzkill.... i'm shocked these guys replicated 447 anomalies....
i always thought that the quant industry's dirty secret was that alot of these stratagies work alot better on stocks that don't trade that much.. 2 problems: 1) can't implement it with much $$$$; 2) are the historical results even accurate/feasible? i.e could you have traded at a bunch of closing prices for illiquid stocks?
https://papers.ssrn.com/sol3/papers....act_id=2961979
Abstract
The anomalies literature is infested with widespread p-hacking. We replicate the entire anomalies literature in finance and accounting by compiling a largest-to-date data library that contains 447 anomaly variables. With microcaps alleviated via New York Stock Exchange breakpoints and value-weighted returns, 286 anomalies (64%) including 95 out of 102 liquidity variables (93%) are insignificant at the conventional 5% level. Imposing the cutoff t-value of three raises the number of insignificance to 380 (85%). Even for the 161 significant anomalies, their magnitudes are often much lower than originally reported. Out of the 161, the q-factor model leaves 115 alphas insignificant (150 with t < 3). In all, capital markets are more efficient than previously recognized.