The Limits of p-Hacking: A Thought Experiment
Andrew Y. Chen
No 2019-016, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)
Suppose that asset pricing factors are just p-hacked noise. How much p-hacking is required to produce the 300 factors documented by academics? I show that, if 10,000 academics generate 1 factor every minute, it takes 15 million years of p-hacking. This absurd conclusion comes from applying the p-hacking theory to published data. To fit the fat right tail of published t-stats, the p-hacking theory requires that the probability of publishing t-stats
Keywords: Stock return anomalies; Multiple testing; p-hacking; Publication bias (search for similar items in EconPapers)
JEL-codes: G10 G12 (search for similar items in EconPapers)
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