Is There a Replication Crisis in Finance?

• 成果类型: Article
• 署名作者: Jensen, Theis Ingerslev; Kelly, Bryan; Pedersen, Lasse Heje
• 署名单位: Copenhagen Business School; Yale University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Copenhagen Business School
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13249
• 发表日期: 2023
• 页码: 2465-2518
• 关键词: false discovery rate; cross-section; presidential-address; INFORMATION

摘要

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.