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.
Original language | English |
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Publication date | 2021 |
Number of pages | 100 |
Publication status | Published - 2021 |
Event | China International Conference in Finance 2021 - Online and Onsite, Shanghai, China Duration: 6 Jul 2021 → 9 Jul 2021 https://www.cicfconf.org/2021/m/index.html |
Conference
Conference | China International Conference in Finance 2021 |
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Location | Online and Onsite |
Country/Territory | China |
City | Shanghai |
Period | 06/07/2021 → 09/07/2021 |
Internet address |
Keywords
- Asset pricing
- Factors
- Data mining
- Replication
- Multiple testing
- External validity
- Empirical Bayes
- Bayesian statistics