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Is There A Replication Crisis In Finance? / Theis Ingerslev Jensen, Bryan T. Kelly, Lasse Heje Pedersen.
- Format:
- Book
- Author/Creator:
- Jensen, Theis Ingerslev.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w28432.
- NBER working paper series no. w28432
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2021.
- Summary:
- 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.
- Notes:
- Print version record
- February 2021.
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