Key points are not available for this paper at this time.
In this article, the authors use a theoretically justified robust cross-section regression method of controlling for outliers to show that, when used in single and multifactor models, the earnings-to-price factor (EP), and a composite earnings forecasts, revisions, and breadth factor (CTEF), are statistically significant for the CRSP®. R3000, and R2000 universes for the time periods 1980–2007 and 2008–2020. Because of adverse influence of outliers, the least squares (LS) regressions with standard 1% Winsorization fail to indicate that EP and CTEF are significant factors. Moreover, the robust regression method is a powerful diagnostic method for detecting overlooked outliers influence on LS results.
Martin et al. (Sat,) studied this question.