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Stats › Backtesting and evidence › 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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Below this point there are 6 sections and 5 named sources, roughly 850 words of it. Every figure carries the source it came from and the date the data is from.

You can keep browsing every statistic in the library for free. The intro and the summary are always open.