Is There a Replication Crisis in Finance?

Theis Ingerslev Jensen, Bryan T. Kelly, Lasse Heje Pedersen

Publikation: Working paperForskning


Several papers argue that financial economics faces a replication crisis because the majority of studies cannot be replicated or are the result of multiple testing of too many factors. We develop and estimate a Bayesian model of factor replication, which leads to different conclusions. The majority of asset pricing factors: (1) can be replicated, (2) can be clustered into 13 themes, the majority of which are significant parts of the tangency portfolio, (3) work out-of-sample in a new large data set covering 93 countries, and (4) have evidence that is strengthened (not weakened) by the large number of observed factors.
UdgivelsesstedCambridge, MA
UdgiverNational Bureau of Economic Research (NBER)
Antal sider52
StatusUdgivet - feb. 2021
NavnNational Bureau of Economic Research. Working Paper Series