The authors of a prizewinning paper on how large financial institutions hedge risk have retracted their article and have returned the award after another researcher could not replicate the findings.
The paper, “Risk Management in Financial Institutions,” was published in 2019 in the Journal of Finance by a group from Duke University, in Durham, N.C., and HEC Paris, in France. In January 2021, the article received a 2020 Brattle Prize Distinguished Paper in Corporate Finance for the work, which has been cited six times, according to Clarivate Analytics’ Web of Science. The prize carries a $10,000 award.
But when Paul Guest, a finance scholar at King’s College London, in the United Kingdom, tried to replicate the study, he found he could not. In an article published earlier this month in the Journal of Finance, Guest detailed his approach, which revealed: “six discrepancies in [the article’s] reporting, coding, and data.”
According to the retraction notice, the authors say they are returning the Brattle Prize:
The authors hereby retract the above article, published in print in the April 2020 issue of The Journal of Finance. A replication study finds that the replication code provided in the supplementary information section of the article does not reproduce some of the central findings reported in the article. Upon reexamination of the work, the authors confirmed that the replication code does not fully reproduce the published results and were unable to provide revised code that does. Therefore, the authors conclude that the published results are not reliable and that the responsible course of action is to retract the article and return the Brattle Group Distinguished Paper Prize that the article received. The authors deeply regret the damage this caused to the journal and the scholarly community. The specific contributions of the authors to the article were as follows: the first and second author provided the theoretical hypothesis; all three authors jointly designed the empirical approach and identification strategy; the third author constructed and handled the data, implemented the empirical analysis, and provided the empirical results as well as the replication data and code. The third author states that the original data and code that produced the published results were lost. The first and second author were not notified of the loss of the original data and code at the time it occurred and had no prior knowledge of the issues with the replication data and code provided to the journal.
Jake George, a spokesman for the Brattle Group, which awards the Brattle Prizes, said he learned about the retraction from the Replication Network, a finance blog. Although Brattle’s name is on the prizes, the awardees are selected by the editors of the Journal of Finance, he added.
The retraction is the second for the journal, although the first one was…mysterious.
We were curious how Guest could have access to data that the senior author of the article, Guillaume Vuillemey, an associate professor of finance at HEC Paris, reportedly has lost, but Vuillemey did not immediately return our request for comment. [Please see update at end of post.]
The first author of the article, Adriano Rampini, of Duke, told us:
At this stage I have no further comment beyond the text of the retraction notice.
Update, 1415 UTC, 7/8/21: Seeing our question above about “how Guest could have access to data that the senior author of the article, Guillaume Vuillemey, an associate professor of finance at HEC Paris, reportedly has lost,” Stefan Nagel, executive editor of the Journal of Finance, told Retraction Watch:
What happened is a bit different:
The authors of the retracted article provided replication code and data in the supplementary information section of their published article (provision of code is required by the JF’s code sharing policy). This is the data and code that was the starting point for the analysis in Guest’s paper. As his paper explains (section I.A):
“The RVV data and code are obtained from the RVV replication file jofi12868-sup-0002-replication-code.zip provided on The Journal of Finance website. This file comprises two Stata do (code) files, a word document that links each RVV table to the do files, and 10 Stata dta (data) files.”
One problem Guest’s analysis uncovers is that some key results of the retracted article are not reproduced by these data and code files that the authors had provided to the JF (see Tables IV and V in the replication paper). The replication paper uncovers other problems as well, but the fact that the posted replication data and code do not reproduce key results reported in the article is a major one.
What has reportedly been lost according to the authors is some other version of data and code that the authors refer to as the “original data and code that produced the published results.”
This is all we know at this point.
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The names of some US universities seem to show up more times on retractionwatch.com’articles than of others. I wonder if a bibliometric analysis is available.
It’s a bit tricky, because a university could have have high retractions because it tolerates or encourages bad research, or because it is quick to act on accusations and diligent in contacting journals about them (rather than the endless foot-dragging and cover-ups we see from some institutions). If you can’t separate those, just citing the numbers is likely to mislead.
I suppose that competent bibiliometricians would be able to account for those and other factors, to some extent.