Is There a Replication Crisis in Finance?

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

Research output: Contribution to conferencePaperResearchpeer-review


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 date2022
Number of pages101
Publication statusPublished - 2022
EventThe 82nd Annual Meeting of American Finance Association. AFA 2022: Part of the ASSA 2022 Virtual Annual Meeting - , WWW
Duration: 7 Jan 20229 Jan 2022
Conference number: 82


ConferenceThe 82nd Annual Meeting of American Finance Association. AFA 2022
Internet address


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

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