Is There a Replication Crisis in Finance?

Research output: Contribution to conferencePaperResearchpeer-review

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 languageEnglish
Publication date2021
Number of pages100
Publication statusPublished - 2021
EventChina International Conference in Finance 2021 - Online and Onsite, Shanghai, China
Duration: 6 Jul 20219 Jul 2021
https://www.cicfconf.org/2021/m/index.html

Conference

ConferenceChina International Conference in Finance 2021
LocationOnline and Onsite
Country/TerritoryChina
CityShanghai
Period06/07/202109/07/2021
Internet address

Keywords

  • Asset pricing
  • Factors
  • Data mining
  • Replication
  • Multiple testing
  • External validity
  • Empirical Bayes
  • Bayesian statistics

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