We evaluate the empirical validity of popular asset-pricing models in explicit consideration of statistical power, by employing the adaptive significance level and equal-probability test. Past studies often use samples from a large cross-section of portfolios over a long time period, conducting...

We conduct the extreme bounds analysis (EBA) to evaluate the robustness or fragility of a range of stock market anomalies, using U.S. daily data from 1960. The EBA is a large-scale sensitivity analysis, able to isolate the effects of potential data-mining or p-hacking under model uncertainty....