# Advances In Quantitative Analysis Of Finance And Accounting by Cheng-Few Lee

By Cheng-Few Lee

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Additional resources for Advances In Quantitative Analysis Of Finance And Accounting Vol. 6

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The returns to a hedge portfolio approach are estimated in the more general sample and compared with those in the original study. Any difference in the returns is attributed to the effects of passive deletion of observations. In the second diagnostic, a sub-sample is randomly drawn from a sample of firm-years where the anomaly is present and statistically significant. Returns are then measured to the given hedge strategy in the sample. This process is repeated 1000 times (with replacement) to construct an empirical distribution of the hedge returns.

Sample. Furthermore, examination of the minimum and maximum values of each of the variables in both samples clearly demonstrates that the implicit sample restrictions most certainly have the effect of eliminating extreme cases from the sample. To assess the impact of the sample restrictions (passive deletion) on inferences about anomalous returns to the forecast-to-price ratio, the diagnostic described in Section 3 of the chapter is employed. First, the strategy is replicated using essentially the same approach as in Elgers et al.

6% is documented. 2% respectively. 6% returns reported by Elgers et al. occur in only 8 of the 1,000 samples. This suggests that the forecast-to-price anomaly may only be present in certain samples with specific characteristics similar to those in the Elgers et al. sample. 6 Robustness of Anomaly Evidence 29 In addition, the results indicate that the removal of the most extreme returns observations from the long and short portfolios is sufficient to displace both the accruals and forecast-to-price anomalies.