"A three-factor model using the standardized-unexpected-earnings and cashflow-to-price factors explains 15 well-known asset pricing anomalies." Our data-mining experiment provides a backdrop against which such claims can be evaluated. We construct three-factor linear pricing models that match...

The performance of a given portfolio policy can in principle be evaluated by comparing its expected utility with that of the optimal policy. Unfortunately, the optimal policy is usually not computable in which case a direct comparison is impossible. In this paper we solve this problem by using...

''A three-factor model using momentum and cashflow-to-price factors explains 14 asset pricing anomalies.'' Our model-mining experiment provides a backdrop to evaluate such claims. We construct three-factor linear pricing models that match return spreads associated with as many as 14 out of 27...