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 | 2022 |
| Number of pages | 101 |
| DOIs | |
| Publication status | Published - 2022 |
| Event | The 82nd Annual Meeting of American Finance Association. AFA 2022: Part of the ASSA 2022 Virtual Annual Meeting - , WWW Duration: 7 Jan 2022 → 9 Jan 2022 Conference number: 82 https://www.aeaweb.org/conference/ |
Conference
| Conference | The 82nd Annual Meeting of American Finance Association. AFA 2022 |
|---|---|
| Number | 82 |
| Country/Territory | WWW |
| Period | 07/01/2022 → 09/01/2022 |
| Internet address |
Keywords
- Asset pricing
- Factors
- Data mining
- Replication
- Multiple testing
- External validity
- Empirical Bayes
- Bayesian statistics