Overview
Campbell R. Harvey is a financial economist (Fuqua School of Business, Duke University; NBER), a past president of the American Finance Association and former editor of the Journal of Finance. His work spans the term structure and business-cycle prediction (the inverted-yield-curve recession signal), emerging-market finance, the CFO survey of the cost of capital, and — most relevant here — the statistics of factor discovery and backtesting under multiple testing.
Key Contributions / Features
- Backtesting haircut (Harvey-Liu 2015): an analytical multiple-testing discount for reported Sharpe ratios (Backtest Overfitting).
- Multiple testing and the factor zoo (Harvey-Liu-Zhu 2016, "…and the Cross-Section of Expected Returns"): argues most published cross-sectional factors would not survive a proper multiple-testing threshold (t>3). See Factor Zoo.
- Yield-curve recession signal and the CFO cost-of-capital survey.
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