Is There a Replication Crisis in Finance?

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

Research output: Working paperResearch


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.
Original languageEnglish
Place of PublicationCambridge, MA
PublisherNational Bureau of Economic Research (NBER)
Number of pages52
Publication statusPublished - Feb 2021
SeriesNational Bureau of Economic Research. Working Paper Series

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