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 language | English |
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Journal | Journal of Finance |
Volume | 78 |
Issue number | 5 |
Pages (from-to) | 2465-2518 |
Number of pages | 54 |
ISSN | 0022-1082 |
DOIs | |
Publication status | Published - Oct 2023 |