Ranking Empirical Evidence in Finance
23 Pages Posted: 3 May 2023 Last revised: 8 Jul 2023
Date Written: April 21, 2023
Abstract
Recent progress in causal inference has opened a path, however difficult, for advancing financial economics beyond its current phenomenological stage. The goal of this article is to propose a hierarchy of empirical evidence, recognizing that not all types of observations have the same scientific weight, in the sense of enabling the falsification of causal claims.
Keywords: Association, causation, causal inference, causal discovery, causal mechanism, confounder, factor investing, backtest overfitting.
JEL Classification: G0, G1, G2, G15, G24, E44.
Suggested Citation: Suggested Citation
López de Prado, Marcos and López de Prado, Marcos, Ranking Empirical Evidence in Finance (April 21, 2023). Available at SSRN: https://ssrn.com/abstract=4425855 or http://dx.doi.org/10.2139/ssrn.4425855
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