Noisy Factors

The Fama-French factors are ubiquitous in empirical finance. We find that factor returns differ substantially depending on when the data were downloaded, and only a small portion of these retroactive changes is explained by revisions to the underlying data. We show that these changes have large effects in two widely-studied contexts: mutual fund performance and cross-sectional equity pricing. Model evaluation tests suggest that more recent vintages do not perform better. Our findings have significant implications for the integrity of finance research and underscore the importance of understanding the provenance of third-party data.