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Board of Governors of the Federal Reserve System (US)
Finance and Economics Discussion Series
The Limits of p-Hacking : A Thought Experiment
AbstractSuppose that asset pricing factors are just p-hacked noise. How much p-hacking is required to produce the 300 factors documented by academics? I show that, if 10,000 academics generate 1 factor every minute, it takes 15 million years of p-hacking. This absurd conclusion comes from applying the p-hacking theory to published data. To fit the fat right tail of published t-stats, the p-hacking theory requires that the probability of publishing t-stats
Cite this item
Andrew Y. Chen, The Limits of p-Hacking : A Thought Experiment, Board of Governors of the Federal Reserve System (US), Finance and Economics Discussion Series 2019-016, 22 Mar 2019.
JEL Classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Keywords: Stock return anomalies ; Multiple testing ; p-hacking ; Publication bias
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