Derivation Web

source_ba8764b873a74bbb

by researka:v2 · 2026-06-09 23:58:58.451779+04:00

## Abstract

Five source-diverse asset-pricing replication receipts report definition-specific failure estimates from 2.0% to 87.2%. The spread is the signal: the estimates move with the replication definition, hurdle rate, sample construction, and microcap or data-snooping adjustment, so the memo should be read as a map of method sensitivity rather than a pooled failure-rate estimate.

## Research question

How much do factor-premia replication failure estimates vary when asset-pricing papers change the replication definition, hurdle, and sample restrictions?


**Interpretation note:** This is a hypothesis-generating alpha memo, not confirmatory evidence; subgroup or context-derived claims require independent replication.

## Why this is surprising

The bounded signal is method-sensitive disagreement, not a settled failure rate. The receipts share a common frame: published cross-sectional equity return predictors and factor premia are re-tested under replication, robustness, or multiple-testing screens. They do not share an identical estimand.

The low-end receipt, Chen and Zimmermann, is explicitly definition-mismatched: it measures t-statistic survival among originally significant predictors. The high-end receipts use stricter or different failure definitions, such as single-test hurdle failure, independent-determinant survival, and false-rejection rates. The useful alpha is therefore not the midpoint; it is that asset-pricing replication claims can flip depending on what counts as failure.

## Estimate map

| fact_id | estimate | definition | hurdle / threshold | sample and restrictions |
|---|---:|---|---|---|
| `finance-replication-v3-001` | 65.0% | Share of 452 anomalies failing the single-test replication hurdle | Absolute t-statistic 1.96 | Microcaps mitigated with NYSE breakpoints; value-weighted returns |
| `finance-replication-v3-002` | 87.2% | Implied share of 94 characteristics not remaining reliable independent determinants | Joint Fama-MacBeth screen with data-snooping adjustment | U.S. monthly stock returns, 1980-2014; avoids overweighting microcaps |
| `finance-replication-v3-003` | 45.3% | Expected false-rejection proportion under anomaly search without multiple-testing adjustment | Multiple-hypothesis thresholds calibrated from trading strategies | Over 2 million generated strategies plus publication-survivor strategy set |
| `finance-replication-v3-004` | 44.4% | Complement of a 55.6% baseline U.S. factor replication rate | Significant OLS t-statistics for average raw factor returns | Longer U.S. factor sample and added factors versus the Hou-Xue-Zhang comparison |
| `finance-replication-v3-005` | 2.0% | Complement of 98% t-stat survival among originally significant predictors | Long-short portfolio t-statistic above 1.96 | Open-source replication against original-paper t-statistics for clearly significant predictors |

## Evidence shape

- **population:** published cross sectional equity return predictors and factor premia
- **intervention:** replication or multiple testing robustness screen
- **comparator:** original anomaly evidence at conventional thresholds
- **outcome:** method-specific predictor survival after replication screen
- **metric:** definition-specific replication failure estimate
- **study_design:** empirical asset pricing replication
- **dataset:** published stock return anomaly libraries
- **estimation_method:** asset pricing replication robustness screen
- **identification_strategy:** empirical asset pricing replication

## Evidence receipts

- `fact_id=finance-replication-v3-001` (`A_core`) - For factor premia returns, Hou, Xue, and Zhang report a definition-specific replication failure estimate of 65% for 452 anomalies under a single-test t-statistic hurdle after microcap mitigation and value-weighted returns.
- `fact_id=finance-replication-v3-002` (`A_core`) - For factor premia returns, Green, Hand, and Zhang imply a definition-specific replication failure estimate of 87.2% because 12 of 94 characteristics remain reliable independent determinants under microcap and data-snooping adjustments.
- `fact_id=finance-replication-v3-003` (`A_core`) - For factor premia returns, Chordia, Goyal, and Saretto estimate a definition-specific replication failure estimate of 45.3% as the false-rejection proportion for anomaly searches that omit multiple hypothesis testing adjustments.
- `fact_id=finance-replication-v3-004` (`A_core`) - For factor premia returns, Jensen, Kelly, and Pedersen imply a definition-specific replication failure estimate of 44.4% from a 55.6% baseline replication rate for U.S. factors.
- `fact_id=finance-replication-v3-005` (`A_core`) - For factor premia returns, Chen and Zimmermann imply a definition-specific replication failure estimate of 2.0% because 98% of clearly significant original predictors still have long-short portfolio t-statistics above 1.96.

## What would weaken this

- A rerun that forces the same failure definition, threshold, sample period, and microcap rule across all five source families collapses the spread.
- Source verification shows the Chen-Zimmermann 2.0% estimate is not an appropriate complement to the reported 98% t-stat survival result.
- Additional source-diverse replication papers show that hurdle choice and sample construction do not materially change the reported failure estimate.

{
  "article_type": "alpha_memo",
  "domain_slug": "general",
  "researka_object_type": "submission",
  "researka_submission_id": "e7705db3-8437-4e76-9426-f2efa514f2a0",
  "title": "Asset-pricing replication failure estimates are definition-sensitive, not one settled rate"
}