By P.-J. Madec, E. Marechal, J.-E. Mark, T. Otsu, R.W. Richards, J.P. Queslel, T. Sato, B. Tieke

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A. Moore & R. J. Pfeiffer Jr. the relatively significant sample restrictions make this an exemplar for the potentially misleading effects of passive deletion. To construct a more general sample, all possible observations from Compustat and IBES that meet a minimum set of restrictions are identified. These requirements are the presence of size-adjusted returns, analysts’ forecasts, the number of analysts underlying the IBES consensus forecasts, and share price. All variables are defined as in Elgers et al.

T-statistics are computed as the mean hedge return divided by the standard errors of the annual hedge returns. 05 level based on two-tailed tests. returns to the forecast-to-price strategy as a greater percentage of observations are incrementally eliminated from these portfolios. Table 3 provides the results. In Panel A, the Elgers et al. (2001) result is reproduced using the original data. 99). 3% in 1985 (not tabulated). 5%. This result is made even more dramatic when one considers that just 41 observations — 2/10 of 1% of the sample — are responsible for one-quarter of the observed returns.

Data. As discussed in Section 3 above, the test is designed to reduce the potential impact of any extreme returns. This is accomplished by eliminating the most extreme returns from the long and short portfolios and examining the 8 The entire procedure was repeated using a new set of 1,000 random samples. 13%. 5%. 6 Robustness of Anomaly Evidence 41 Table 3. Testing the effects of extreme returns: size-adjusted returns to portfolios based on F/P and accruals. Cases deleted Mean hedge return Median hedge return Mean Low F/P Portfolio Mean High F/P Portfolio Panel A: F/P: Returns using original Elgers et al.

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