Noisy Factors? The Retroactive Impact of Methodological Changes on the Fama-French Factors

The Fama-French factors are ubiquitous in empirical finance. We find that factor returns differ substantially depending on when the data were downloaded. A large portion of these retroactive changes appear to be driven by modifications to the factor construction methodology rather than by revisions to the underlying data. Changes to the factors 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.