TY  - BOOK
AU  - Jensen,Theis Ingerslev
AU  - Kelly,Bryan T.
AU  - Pedersen,Lasse Heje
ED  - National Bureau of Economic Research.
TI  - Is There A Replication Crisis In Finance?
T2  - NBER working paper series
PY  - 2021///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - February 2021; Hardcopy version available to institutional subscribers
N2  - 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
UR  - https://www.nber.org/papers/w28432
UR  - http://dx.doi.org/10.3386/w28432
ER  -