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Estadísticas › Backtesting y evidencia › Replication rates

The three headline replication rates for asset pricing are 35%, 82% and 98%, and none measures the same thing

Reproduced on the original method
98%
Bayesian, 153 factors, 93 countries
82%
Ordinary least squares, same paper
35%
With a frequentist correction, same paper
18%

Four published replication or reproduction rates for cross-sectional equity anomalies. The bottom three come from inside a single paper, which is why they are the clearest demonstration that the statistical method, not the data, drives the headline number.

One study finds 65% of published anomalies fail a basic significance test. Another puts the replication rate at 82.4%. A third reproduces 98% of them. The gap is entirely method, and a single paper shows 35% becoming 82% by changing the statistics alone.

65%Anomaly variants failing a t statistic of 1.96 in one study
82.4%Replication rate in a Bayesian study of 153 factors
98%Share of clear predictors reproducing on their own original samples
18%The same study's own rate under a Benjamini-Yekutieli correction

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