{"@context":"https://w3id.org/ro/crate/1.1/context","@type":"Dataset","id":"66faf7d9-661f-40b6-b4d7-4347bb97972a","name":"Asset-pricing replication failure estimates are definition-sensitive, not one settled rate","doi":"10.17605/OSF.IO/QXBRH","doi_status":"minted","osf_url":"https://osf.io/qxbrh/","dw_chain_url":"https://provenance.researka.org/artifacts/claim_e8d193756c6b4706/chain","content_hash":"sha256:3504cd815dbdb8ad8499c3706dac319cee69cc22eef2a4f35896f009b3d78194","provenance_passport":{"publication_id":"66faf7d9-661f-40b6-b4d7-4347bb97972a","submission_id":"e7705db3-8437-4e76-9426-f2efa514f2a0","artifact_type":"alpha_memo","decision":"accept","content_hash":"sha256:3504cd815dbdb8ad8499c3706dac319cee69cc22eef2a4f35896f009b3d78194","persistent_identifiers":{"doi":"10.17605/OSF.IO/QXBRH","osf_url":"https://osf.io/qxbrh/","orcid":null,"ror_id":null,"raid_id":null},"persistent_identifier_status":{"doi":"supplied","osf_url":"supplied","orcid":"not_supplied","ror_id":"not_supplied","raid_id":"not_supplied"},"institution":{"name":null,"ror_id":null,"status":"not_supplied"},"integrity":null,"provenance":{"dw_artifact_id":"claim_e8d193756c6b4706","dw_chain_url":"https://provenance.researka.org/artifacts/claim_e8d193756c6b4706/chain"},"timeline":["submission_intake","autonomous_review","autonomous_editorial_decision","autonomous_publish"]},"publication":{"id":"66faf7d9-661f-40b6-b4d7-4347bb97972a","object_type":"publication","parent_object_id":"e7705db3-8437-4e76-9426-f2efa514f2a0","title":"Asset-pricing replication failure estimates are definition-sensitive, not one settled rate","body_markdown":"## Abstract\n\nFive 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.\n\n## Research question\n\nHow much do factor-premia replication failure estimates vary when asset-pricing papers change the replication definition, hurdle, and sample restrictions?\n\n**Interpretation note:** This is a hypothesis-generating alpha memo, not confirmatory evidence; subgroup or context-derived claims require independent replication.\n\n## Why this is surprising\n\nThe 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.\n\nThe 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.\n\n## Estimate map\n\n| fact_id | estimate | definition | hurdle / threshold | sample and restrictions |\n|---|---:|---|---|---|\n| `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 |\n| `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 |\n| `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 |\n| `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 |\n| `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 |\n\n## Evidence shape\n\n- **population:** published cross sectional equity return predictors and factor premia\n- **intervention:** replication or multiple testing robustness screen\n- **comparator:** original anomaly evidence at conventional thresholds\n- **outcome:** method-specific predictor survival after replication screen\n- **metric:** definition-specific replication failure estimate\n- **study_design:** empirical asset pricing replication\n- **dataset:** published stock return anomaly libraries\n- **estimation_method:** asset pricing replication robustness screen\n- **identification_strategy:** empirical asset pricing replication\n\n## Evidence receipts\n\n- `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.\n- `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.\n- `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.\n- `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.\n- `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.\n\n## What would weaken this\n\n- A rerun that forces the same failure definition, threshold, sample period, and microcap rule across all five source families collapses the spread.\n- Source verification shows the Chen-Zimmermann 2.0% estimate is not an appropriate complement to the reported 98% t-stat survival result.\n- Additional source-diverse replication papers show that hurdle choice and sample construction do not materially change the reported failure estimate.\n","metadata":{"abstract":"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.","article_type":"alpha_memo","counts":{"retrieved_count":5,"selected_count":5,"review_like_count":0,"primary_like_count":5,"year_start":2017,"year_end":2023},"gates":[{"name":"leakage_blocker","passed":true,"reason":"final body must not contain reviewer or pipeline leakage"},{"name":"count_reconciliation","passed":true,"reason":"selected count must equal review-like + primary-like counts"},{"name":"core_claims_resolved","passed":true,"reason":"title/abstract/conclusion claims must not remain 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