论文标题
金融经济学中的错误（和错过）发现
False (and Missed) Discoveries in Financial Economics
论文作者
论文摘要
多次测试困扰着金融中的许多重要问题，例如资金和因素选择。我们提出了一种校准I型和II型错误的新方法。接下来，使用双启动方法，我们建立了与特定的错误发现率相关的T统计障碍（例如5％）。我们还建立了一个与错误发现与虚假发现的一定可接受比率相关的障碍（II型错误按I型错误缩放），这有效地允许两种类型的错误的差异成本。评估当前方法时，我们发现他们缺乏检测优于经理的能力。
Multiple testing plagues many important questions in finance such as fund and factor selection. We propose a new way to calibrate both Type I and Type II errors. Next, using a double-bootstrap method, we establish a t-statistic hurdle that is associated with a specific false discovery rate (e.g., 5%). We also establish a hurdle that is associated with a certain acceptable ratio of misses to false discoveries (Type II error scaled by Type I error), which effectively allows for differential costs of the two types of mistakes. Evaluating current methods, we find that they lack power to detect outperforming managers.
