[{"data":1,"prerenderedAt":-1},["ShallowReactive",2],{"detail-sidebar-cat-1-en-105":3,"doc-seo-194729-105":53,"doc-detail-194729-en":126},{"code":4,"msg":5,"data":6},0,"success",[7,14,19,24,29,34,39,44,49],{"id":8,"doc_module":9,"doc_module_name":10,"category_name":11,"show_sort_weight":12,"slug":13},11,1,"Template","Presentations",90,"presentations",{"id":15,"doc_module":9,"doc_module_name":10,"category_name":16,"show_sort_weight":17,"slug":18},12,"Resumes",80,"resumes",{"id":20,"doc_module":9,"doc_module_name":10,"category_name":21,"show_sort_weight":22,"slug":23},14,"Invoices",70,"invoices",{"id":25,"doc_module":9,"doc_module_name":10,"category_name":26,"show_sort_weight":27,"slug":28},15,"Posters",60,"posters",{"id":30,"doc_module":9,"doc_module_name":10,"category_name":31,"show_sort_weight":32,"slug":33},16,"Social Media",50,"social-media",{"id":35,"doc_module":9,"doc_module_name":10,"category_name":36,"show_sort_weight":37,"slug":38},17,"Forms",40,"forms",{"id":40,"doc_module":9,"doc_module_name":10,"category_name":41,"show_sort_weight":42,"slug":43},18,"Letters",30,"letters",{"id":45,"doc_module":9,"doc_module_name":10,"category_name":46,"show_sort_weight":47,"slug":48},21,"Paper Templates",5,"papers-templates",{"id":50,"doc_module":9,"doc_module_name":10,"category_name":51,"show_sort_weight":4,"slug":52},158,"General","general-158",{"code":4,"msg":54,"data":55},"ok",{"site_id":56,"language":57,"slug":58,"title":59,"keywords":60,"description":61,"schema_data":62,"social_meta":119,"head_meta":121,"extra_data":123,"updated_unix":125},105,"en","p118-and-the-cross","P118 and the Cross","","The text defines a set of financial factors used as proxies for multiple layers of market and firm behavior, including aggregate market movement, macroeconomic fundamentals, microstructure frictions, investor sentiment and systematic mispricing, and firm-level accounting or behavioral variables. It further lists canonical references linking specific proxies to well-known empirical constructs. The latter portion introduces a testing framework for multiple hypothesis testing, distinguishing outcomes, notational components, and error types across published and unpublished factors, with motivation for controlling general type I error in settings where standard approaches can be overly stringent.",{"@graph":63,"@context":118},[64,80,101],{"@type":65,"itemListElement":66},"BreadcrumbList",[67,71,74,77],{"item":68,"name":69,"@type":70,"position":9},"https://docshare.wps.com","Home","ListItem",{"item":72,"name":10,"@type":70,"position":73},"https://docshare.wps.com/template/",2,{"item":75,"name":51,"@type":70,"position":76},"https://docshare.wps.com/template/general/",3,{"item":78,"name":59,"@type":70,"position":79},"https://docshare.wps.com/template/p118-and-the-cross/194729/",4,{"url":78,"name":59,"@type":81,"image":82,"author":87,"headline":59,"publisher":90,"fileFormat":93,"inLanguage":57,"description":61,"dateModified":94,"datePublished":95,"encodingFormat":93,"isAccessibleForFree":96,"interactionStatistic":97},"DigitalDocument",{"url":83,"@type":84,"width":85,"height":86},"https://docshare.wps.com/thumbnails/p118-and-the-cross/194729.png","ImageObject",442,249,{"name":88,"@type":89},"Liam","Person",{"url":68,"name":91,"@type":92},"DocShare","Organization","application/pdf","2026-09-30","2026-09-03",true,{"@type":98,"interactionType":99,"userInteractionCount":76},"InteractionCounter",{"@type":100},"ViewAction",{"@type":102,"mainEntity":103},"FAQPage",[104,110,114],{"name":105,"@type":106,"acceptedAnswer":107},"What is meant by using financial proxies in the document?","Question",{"text":108,"@type":109},"Financial proxies are variables constructed to represent different underlying economic or market forces, such as market returns, liquidity, consumption growth, or firm-level risks and biases.","Answer",{"name":111,"@type":106,"acceptedAnswer":112},"Which categories of proxies for factor movement are listed?",{"text":113,"@type":109},"The document groups proxies into common categories including aggregate financial market movement, macroeconomic fundamentals, market microstructure frictions, investor behavior, and firm-level accounting variables, behavioral biases, and financial frictions.",{"name":115,"@type":106,"acceptedAnswer":116},"How does the document explain type I and type II errors in multiple testing?",{"text":117,"@type":109},"Type I error corresponds to falsely discovered factors labeled as true (false positives), while type II error corresponds to true factors that are not found as significant (false negatives).","https://schema.org",{"og:url":78,"og:type":120,"og:title":59,"og:site_name":91,"og:description":61},"article",{"robots":122,"canonical":78},"index,follow",{"doc_id":124,"site_id":56},194729,1790275944,{"code":4,"msg":5,"data":127},{"doc_id":124,"user_id":128,"nickname":88,"user_avatar":129,"doc_module":9,"category_id":50,"category_name":51,"doc_title":59,"doc_description":61,"doc_content":130,"file_id":131,"file_url":132,"file_type":133,"file_size":134,"view_count":76,"is_deleted":4,"is_public":9,"is_downloadable":9,"audit_status":9,"page_count":135,"language":136,"language_code":57,"site_id":56,"html_lang":57,"table_of_contents":137,"faqs":138,"seo_title":139,"seo_description":61,"update_tm":140,"read_time":141},8796095461564,"https://ap-avatar.wpscdn.com/davatar_155a257f0dc6eb9ab79c44ca47cae57d","| Common\u003Cbr>(113)\u003Cbr>Characteristics\u003Cbr>(202) | Financial\u003Cbr>(46)\u003Cbr>Macro\u003Cbr>(40)\u003Cbr>Microstructure\u003Cbr>(11)\u003Cbr>Behavioral\u003Cbr>(3)\u003Cbr>Accounting\u003Cbr>(8)\u003Cbr>Other\u003Cbr>(5)\u003Cbr>Financial\u003Cbr>(61)\u003Cbr>Microstructure\u003Cbr>(28)\u003Cbr>Behavioral\u003Cbr>(3)\u003Cbr>Accounting\u003Cbr>(87)\u003Cbr>Other\u003Cbr>(24) | Proxy for aggregate financial market movement, including market portfolio returns, volatility, squared market returns, among others\u003Cbr>Proxy for movement in macroeconomic fundamentals, including consumption, investment, inflation, among others\u003Cbr>Proxy for aggregate movements in market microstructure or financial market frictions, including liquidity, transaction costs, among others\u003Cbr>Proxy for aggregate movements in investor behavior, sentiment or behavior-driven systematic mispricing\u003Cbr>Proxy for aggregate movement in firm-level accounting variables, including payout yield, cash flow, among others\u003Cbr>Proxy for aggregate movements that do not fall into the above categories, including momentum, investors’beliefs, among others\u003Cbr>Proxy for firm-level idiosyncratic financial risks, including volatility, extreme returns, among others\u003Cbr>Proxy for firm-level financial market frictions, including short sale restrictions, transaction costs, among others\u003Cbr>Proxy for firm-level behavioral biases, including analyst dispersion, media coverage, among others\u003Cbr>Proxy for firm-level accounting variables, including PE ratio, debt-to-equity ratio, among others\u003Cbr>Proxy for firm-level variables that do not fall into the above categories, including political campaign contributions, ranking-related firm intangibles, among others | Sharpe (1964): market returns; Kraus and Litzenberger (1976): squared market returns\u003Cbr>Breeden (1979): consumption growth; Cochrane (1991): investment returns\u003Cbr>Pastor and Stambaugh (2003): market liquidity; Lo and Wang (2006): market trading volume\u003Cbr>Baker and Wurgler (2006): investor sentiment; Hirshleifer and Jiang (2010): market mispricing\u003Cbr>Fama and French (1992): size and book-to-market; Da and Warachka (2009): cash flow\u003Cbr>Carhart (1997): return momentum; Ozoguz (2009): investors’beliefs\u003Cbr>Ang et al. (2006): idiosyncratic volatility; Bali, Cakici, and Whitelaw (2011): extreme stock returns\u003Cbr>Jarrow (1980): short sale restrictions; Mayshar (1981): transaction costs\u003Cbr>Diether, Malloy, and Scherbina (2002): analyst dispersion; Fang and Peress (2009): media coverage\u003Cbr>Basu (1977): PE ratio; Bhandari (1988): debt-to-equity ratio\u003Cbr>Cooper, Gulen, and Ovtchinnikov (2010): political campaign contributions; Edmans (2011): intangibles |\n| --- | --- | --- | --- |\n\n\n|  | Unpublished | Published | Total |\n| --- | --- | --- | --- |\n| Truly insignificant | 500 | 50 | 550 |\n| Truly significant | 100 | 50 | 150 |\n| Total | 600 | 100(R) | 700(M) |\n| Panel B: The testing framework |  |  |  |\n|  | H0 not rejected | H0 rejected | Total |\n| H0 true | N0|a | N0|r | M0 |\n| H0 false | N1|a | N1|r | M1 |\n| Total | M −R | R | M |\n| PanelA shows a hypothetical example for factor testing. Panel B presents the corresponding notation ina standard multiple testing framework.\u003Cbr>least 60 years ago.9 Early generations of multiple testing procedures focus on the control of the family-wise error rate (see Section 4.3.1) . More recently, increasing interest in multiple testing from the medical literature has spurred the development of methods that control the false discovery rate (see Section 4.3.2) . Multiple testing is an active research area in both the statistics and the medical literature.10\u003Cbr>Despite the rapid development of multiple testing methods, they have not attracted much attention in thefinance literature. Moreover, most ofthe research that does involve multiple testing focuses on the Bonferroni adjustment, 11 which is known to be too stringent. Our paper aims to fill this gap.\u003Cbr>First, we introduce a hypothetical example to motivate a more general framework. In Table 2, we categorize the possible outcomes of a multiple testing exercise. Panel A displays an example of","cbCaicKWYBHXgRbs","https://ap.wps.com/l/cbCaicKWYBHXgRbs","pdf",969629,64,"English","# Proxy definitions for financial factors\n## Aggregate market, macro fundamentals, and microstructure\n## Investor behavior and firm-level accounting or behavioral variables\n## Canonical reference mappings for common proxies\n# Multiple testing framework and error types\n## Hypothetical factor outcomes and notation\n## Type I (false positive) and Type II (false negative) errors\n## Motivation for less stringent control beyond Bonferroni","[{\"question\":\"What is meant by using financial proxies in the document?\",\"answer\":\"Financial proxies are variables constructed to represent different underlying economic or market forces, such as market returns, liquidity, consumption growth, or firm-level risks and biases.\"},{\"question\":\"Which categories of proxies for factor movement are listed?\",\"answer\":\"The document groups proxies into common categories including aggregate financial market movement, macroeconomic fundamentals, market microstructure frictions, investor behavior, and firm-level accounting variables, behavioral biases, and financial frictions.\"},{\"question\":\"How does the document explain type I and type II errors in multiple testing?\",\"answer\":\"Type I error corresponds to falsely discovered factors labeled as true (false positives), while type II error corresponds to true factors that are not found as significant (false negatives).\"}]","P118 and the Cross | PDF",1788442135,22]