| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w28432 |
| 来源ID | Working Paper 28432 |
| Is There A Replication Crisis In Finance? | |
| Theis Ingerslev Jensen; Bryan T. Kelly; Lasse Heje Pedersen | |
| 发表日期 | 2021-02-08 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 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, 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. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w28432 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/586105 |
| 推荐引用方式 GB/T 7714 | Theis Ingerslev Jensen,Bryan T. Kelly,Lasse Heje Pedersen. Is There A Replication Crisis In Finance?. 2021. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w28432.pdf（576KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
