PhD Workshop: p-Values, False Discoveries and the Multiple Testing Problem in Finance
The PhD Workshop on p-Values, False Discoveries and the Multiple Testing Problem in Finance will be facilitated by Professor Ashish Tiwari, Professor of Finance and the Tippie Research Fellow at the Henry B. Tippie College of Business Administration at the University of Iowa. Professor Tiwari’s research and teaching interests are in the areas of investments, market microstructure, and real estate.
The use of p-values to judge “statistical significance” of a finding is commonplace, but the measure is frequently misinterpreted. P-values cannot answer the key question: “Is the studied hypothesis true or not?” In fact a p-value of 0.05 provides only weak evidence against the null hypothesis and may be associated with a false discovery rate (FDR) or error rate of nearly 30% or higher. The false discovery problem is made worse in the presence of multiple comparisons or multiple testing, model misspecification errors and “p-hacking” – issues that are quite common in various fields, including finance.
The aim of this workshop is to introduce researchers to relatively recent innovations in statistical methods designed to control the false discovery rate when carrying out multiple hypothesis tests. As an example of a specific application, Professor Tiwari will re-examine the frequently studied problem of identifying “skilled” mutual fund managers from among a large sample of funds.
A set of background readings will be made available in advance – both to provide context, and to serve as the basis for discussion during the workshop.
|Tuesday 5 December 2017|
1:00 pm - 5:00 pm
|Finance Decision Lab, Level 1, Building E4A|
|Thursday 30 November 2017|
Ashish Tiwari is a Professor of Finance and the Tippie Research Fellow at the Henry B. Tippie College of Business Administration at the University of Iowa, where he also served as the director of the Finance Ph.D. program from 2007 to 2015. Professor Tiwari’s research and teaching interests are in the areas of investments, market microstructure, and real estate.
His research addresses a range of issues including the impact of uncertainty on optimal asset allocations, the performance of mutual funds and hedge funds, the design of optimal portfolio management contracts, the impact of market design on order execution quality, and the link between portfolio diversification gains and business cycles. In recent years his research has focused on the use of model combination techniques to improve performance benchmarking of portfolio managers.
Professor Tiwari’s papers have been published in several academic journals including European Financial Management, Journal of Business, Journal of Empirical Finance, Journal of Finance, Journal of Financial Intermediation, Journal of Financial Markets, Journal of Financial and Quantitative Analysis, Journal of Financial Research, Journal of Investment Management, Journal of Portfolio Management, Management Science, Real Estate Economics, Review of Finance, and the Review of Financial Studies.
His research and commentary have also been featured in various business and popular press outlets including the Financial Times and the Wall Street Journal. Prof. Tiwari has served as a consultant for a number of organizations including the American Stock Exchange (Amex). Before entering academe, his corporate experience involved the areas of Corporate Finance and Information Systems Design. Professor Tiwari received his Ph.D. in Finance from the University of Iowa and MBA (Finance/MIS) degrees from the University of Windsor, and Panjab University.