... sample construction, alternative name classifications and outlier-robust methods. My analysis finds that the original result is sensitive to a small number of extreme observations and classification decisions. This highlights how routine empirical choices can affect replicability and inference...

...Nicolas P.B. Bollen; Juha Joenväärä; Mikko Kauppila This paper successfully replicates Kosowski, Naik and Teo (2007) and Jagannathan, Malakhov and Novikov (2010), two seminal studies of hedge fund performance persistence. The authors show that top funds continue to persist in a more recent sample...

... Publishing Limited Licensed re-use rights only Return predictability Equity risk premium Pockets of predictability Replication Methodological uncertainty Research design Aggregate market returns G11 G12 G14 G17 National Science Center of Poland Grant No. 2022/45/B/HS4/00451...

... histogram titled Panel B CP’s the distribution of investment rates. The data forms a sharp, bell-shaped peak centered at an investment rate slightly above 0, with a percentage frequency of approximately 8.5 percentage. The Replication Network defines a replication “as any study whose primary purpose...

...John Adams; Darren Hayunga; Sattar Mansi We revisit the nature of returns to scale following Pá stor et al. (2015 ). Using replicated versions of their domestic equity fund sample, we confirm their negative and significant relation between industry scale and performance. However, upon...

... of the Board of Governors of the Federal Reserve or the Federal Reserve System. © 2022 Andrew Y. Chen and Tom Zimmermann 2022 Andrew Y. Chen and Tom Zimmermann Licensed re-use rights only Stock market anomalies Replication Asset pricing G10 G12 *First posted to SSRN: May 18, 2020...

...Andrew C. Chang; Phillip Li We attempted to replicate 67 macroeconomic papers published in 13 well-regarded economics journals using author-provided replication files that included both data and code by following a preanalysis plan. Aside from six papers that used confidential data, we obtained...

...Samangi Bandaranayake; Kuntal K. Das; W. Robert Reed This study replicates Schaeck et al. (2009) , henceforth SCW. SCW conclude that (i) concentration and competition (as measured by Panzar and Rosse’s H-statistic) represent two separate dimensions of the banking sector, with (ii) greater...

..., and the Review of Financial Studies (RFS) is currently developing a policy. ¹ Replication is essential to any scientific endeavor, so why has the area of financial economics lagged behind? Our colleagues in the physical and biological sciences would be perplexed by the history...

... an independent replication and two out-of-sample tests with three datasets (US 1964 to 1999, US 2000 to 2016, and Japan 1978 to 2012), six versions of the LCAPM, and eight test portfolios. We first consider the “one-variable LCAPM test” for the intercept, the illiquidity cost effect, and the net liquidity risk...

...Jeffrey Pontiff; Rohit Singla We revisit the role of liquidity risk. We successfully replicate Pastor and Stambaugh’s (2003 ) gamma liquidity risk index, and within their time period, concur with their risk premium estimate. An out-of-their-time-period analysis finds post-time-period returns...

...Luboš Pástor; Robert F. Stambaugh The Critical Finance Review commissioned Li et al. (2019) and Pontiff and Singla (2019) to replicate the results in Pástor and Stambaugh (2003). Both studies successfully replicate our market-wide liquidity measure and find similar estimates...