“Is There a Replication Crisis in Finance?” (2023), by Theis Ingerslev Jensen et al. Economics research paper. Original abstract below, unchanged. No free PDF was found.

Is There a Replication Crisis in Finance?

Theis Ingerslev Jensen, Bryan Kelly, Lasse Heje Pedersen · May 26, 2023 · Economics

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.

Source page DOI: 10.1111/jofi.13249