- Published
- 2023-05-26
- Venue
- The Journal of Finance, vol. 78, no. 5, pp. 2465-2518
- Cited by
- 561
- Open access
- Yes, hybrid
- DOI
- 10.1111/jofi.13249
Abstract
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.
Cite this paper
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- APA 7
Jensen, T. I., Kelly, B., & Pedersen, L. H. (2023). Is There a Replication Crisis in Finance? The Journal of Finance, 78(5), 2465–2518. https://doi.org/10.1111/jofi.13249
- MLA 9
Jensen, Theis Ingerslev, et al. "Is There a Replication Crisis in Finance?" The Journal of Finance, vol. 78, no. 5, 2023, pp. 2465–2518, https://doi.org/10.1111/jofi.13249.
- Chicago
Jensen, Theis Ingerslev, Bryan Kelly, and Lasse Heje Pedersen. "Is There a Replication Crisis in Finance?" The Journal of Finance 78, no. 5 (2023): 2465–2518. https://doi.org/10.1111/jofi.13249.
- GOST
Jensen T. I., Kelly B., Pedersen L. H. Is There a Replication Crisis in Finance? // The Journal of Finance. — 2023. — Vol. 78, № 5. — P. 2465–2518. — URL: https://doi.org/10.1111/jofi.13249
- BibTeX
@article{jensen2023there, title = {{Is There a Replication Crisis in Finance?}}, author = {Theis Ingerslev Jensen and Bryan Kelly and Lasse Heje Pedersen}, journal = {The Journal of Finance}, year = {2023}, volume = {78}, number = {5}, pages = {2465--2518}, doi = {10.1111/jofi.13249}, url = {https://doi.org/10.1111/jofi.13249} }- RIS
TY - JOUR AU - Jensen, Theis Ingerslev AU - Kelly, Bryan AU - Pedersen, Lasse Heje TI - Is There a Replication Crisis in Finance? JO - The Journal of Finance VL - 78 IS - 5 SP - 2465 EP - 2518 PY - 2023 DA - 2023/05/26 DO - 10.1111/jofi.13249 UR - https://doi.org/10.1111/jofi.13249 ER -