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In psychology voting on which studies should be replicated is established on a website. For economics, including financial economics, the ReplicationWiki (that I founded) offers a voting option but it is not yet used much. I already saw a question here on a specific paper as well as several at the cross validated stack for statistics (a, b, c) and at the academia stack where I then asked the same question as here (cross validated,academia). I added the papers to the wiki (e.g., Intraday Patterns in the Cross-section of Stock Returns, Journal of Finance 2010, Steven L. Heston, Robert A. Korajczyk, and Ronnie Sadka).

There are many other places where such questions on replication of specific studies can be found, e.g., in the forums for specialized software (e.g., here). To get further suggestions I would like to know if you have already replicated studies yourself or with your students. What would you think would be a mechanism that motivates to share such experience and help to identify the studies that should be replicated? And the replications that are already available somewhere but not yet listed in the wiki? Where would be the right place to ask?

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I think one should start with the basic Asset Pricing papers such as:

  1. Mehra and Prescott 1985;
  2. Campbell and Cochrane 1999;
  3. Bansal and Yaron 2004;

Most of the models are then variations of these in one way or another. Some other more complex but potentially interesting are on intermediation. Some authors provide codes. Take a look for instance at He and Krishnamurthy (2013, 2014, 2015 with Milbradt.

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  • $\begingroup$ Thanks. One of these is already in the Wiki: Intermediary Asset Pricing, He and Krishnamurthy 2013. Do you know of any attempts of replication? Are the results available? What would motivate so that users start adding studies and voting? $\endgroup$ – Jan Höffler Feb 6 '16 at 13:16
  • $\begingroup$ I have replicated a few myself, but have no incentive whatsoever in sharing. Barriers to entry the profession ;) $\endgroup$ – phdstudent Feb 6 '16 at 13:19
  • $\begingroup$ Voting is anonymous. And why is the information not even shared if a replication was successful or just minor changes had to be done? It should be seen as a compliment that the original research was interesting. $\endgroup$ – Jan Höffler Feb 6 '16 at 13:24
  • $\begingroup$ I'm not sure which papers you meant with He and Krishnamurthy (2014, 2015). Are these working papers? When clarified I'd like to integrate the links into your answer and delete this comment. $\endgroup$ – Jan Höffler Feb 6 '16 at 15:43
  • $\begingroup$ A Model of Reserve Asset, A Macroeconomic Framework for Quantifying Systemic Risk (one of them has matlab code) $\endgroup$ – phdstudent Feb 6 '16 at 16:15

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