Is There a Replication Crisis in Finance?

Theis Ingerslev Jensen, Bryan Kelly, Lasse Heje PedersenFinance资产定价UTD24

Journal of Finance2023-05-26Copenhagen Business School; Yale UniversityDOI

Citations398

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.

Replication (statistics)Sample (material)Financial crisisPortfolioAsset (computer security)Capital asset pricing modelSet (abstract data type)Bayesian probabilityEconomicsEconometricsFinancial economicsActuarial science