Lack of Theory is Tipoff: Watch out for Data Mining! (Fisher Black, 1993)
In this article (co-authored with Professor Shamsuddin), I provide the evidence that the stock market anomalies are simply the results of data-mining and p-hacking, using the extreme bounds analysis. The full article is freely available from https://authors.elsevier.com/c/1hcLz3mS~2a1It
These stock market anomalies are simply useless to make profits from stock market, which is the view also shared by Warren Buffet from his 1984 interview: particularly from 5min 30 sec.
Another good example showing how statistical methods are abused and misused!