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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
Andrew Y. Chen
Abstract

Suppose 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


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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.
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Keywords: Stock return anomalies ; Multiple testing ; p-hacking ; Publication bias
DOI: 10.17016/FEDS.2019.016
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