Is There a Replication Crisis in Finance?

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

*Corresponding author for this work

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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 that leads to different conclusions. The majority of asset pricing factors (i) can be replicated; (ii) can be clustered into 13 themes, the majority of which are significant parts of the tangency portfolio; (iii) work out-of-sample in a new large data set covering 93 countries; and (iv) have evidence that is strengthened (not weakened) by the large number of observed factors.
Original languageEnglish
JournalJournal of Finance
Volume78
Issue number5
Pages (from-to)2465-2518
Number of pages54
ISSN0022-1082
DOIs
Publication statusPublished - Oct 2023

Bibliographical note

Published online: 26 May 2023.

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