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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.)

Abstract: 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)
Date: 2019-03-22
New Economics Papers: this item is included in nep-hpe
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2019-16

DOI: 10.17016/FEDS.2019.016

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