Abstract
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.
| Originalsprog | Engelsk |
|---|---|
| Publikationsdato | 2022 |
| Antal sider | 101 |
| DOI | |
| Status | Udgivet - 2022 |
| Begivenhed | The 82nd Annual Meeting of American Finance Association. AFA 2022: Part of the ASSA 2022 Virtual Annual Meeting - , WWW Varighed: 7 jan. 2022 → 9 jan. 2022 Konferencens nummer: 82 https://www.aeaweb.org/conference/ |
Konference
| Konference | The 82nd Annual Meeting of American Finance Association. AFA 2022 |
|---|---|
| Nummer | 82 |
| Land/Område | WWW |
| Periode | 07/01/2022 → 09/01/2022 |
| Internetadresse |
Emneord
- Asset pricing
- Factors
- Data mining
- Replication
- Multiple tesiting
- External validity
- Empirical Bayes
- Bayesian statistics