Is There a Replication Crisis in Finance?
Theis Ingerslev Jensen, Bryan P. Kelly, Lasse Heje Pedersen
Copenhagen Business School Yale University CFA Institute
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摘要与影响
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.
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经济 / 管理Financial Markets and Investment Strategies
Monetary Policy and Economic Impact · Credit Risk and Financial Regulations
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