Jensen, Theis Ingerslev. <br/><br/>
Is There A Replication Crisis In Finance? / 
Theis Ingerslev Jensen, Bryan T. Kelly, Lasse Heje Pedersen. 
 - Cambridge, Mass.  National Bureau of Economic Research  2021. 
 - 1 online resource:  illustrations (black and white); 
 - NBER working paper series  no. w28432 .
 - Working Paper Series (National Bureau of Economic Research)  no. w28432. .
<br/><br/> February 2021. 
<br/><br/> 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. 
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