The Limits of P-Hacking: A Thought Experiment

16 Pages Posted: 26 Mar 2019

Date Written: 2019-03-22


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 < 6.0 is infinitesimal. Thus it takes a ridiculous amount of p-hacking to publish a single t-stat. These results show that p-hacking alone cannot explain the factor zoo.

Keywords: Stock return anomalies, Multiple testing, p-hacking, Publication bias

JEL Classification: G10, G12

Suggested Citation

Chen, Andrew Y., The Limits of P-Hacking: A Thought Experiment (2019-03-22). FEDS Working Paper No. 2019-016. Available at SSRN: or

Andrew Y. Chen (Contact Author)

Federal Reserve Board ( email )

20th and C Streets, NW
Washington, DC 20551
United States
202-973-6941 (Phone)


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