Is There A Replication Crisis In Finance?

Theis Ingerslev Jensen, Bryan T. Kelly and Lasse Pedersen

No 28432, NBER Working Papers from National Bureau of Economic Research, Inc

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, 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.

JEL-codes: C11 C58 G02 G10 G11 G12 G15 G17 (search for similar items in EconPapers)
Date: 2021-02
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (24)

Published as THEIS INGERSLEV JENSEN & BRYAN KELLY & LASSE HEJE PEDERSEN, 2023. "Is There a Replication Crisis in Finance?," The Journal of Finance, vol 78(5), pages 2465-2518.

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