Is There a Replication Crisis in Finance?

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Submitted by CharlotteM

May 17, 2022, 11:14 a.m.

Is There a Replication Crisis in Finance?

Theis Ingerslev Jensen, Bryan T. Kelly, Lasse Heje Pedersen
Jensen, Theis Ingerslev and Kelly, Bryan T. and Pedersen, Lasse Heje, Is There a Replication Crisis in Finance? (January 30, 2021). NYU Stern School of Business Forthcoming, Available at SSRN: or

Brief Description
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.

Programming language: R and SAS
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This paper studies the replicability of findings in science.
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