Non-Standard Errors

Albert J. Menkveld, Menachem (Meni) Abudy, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Tobias Adrian, Xue-Zhong 'Tony' He, Davidson Heath, Simon Hediger, Terrence J. Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth HoelscherPeter Hoffmann, Craig W. Holden, Alex R. Horenstein, Yacine Ait-Sahalia, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Olivier Akmansoy, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Jamie Alcock, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Vitali Alexeev, Quentin Lajaunie, Full Yet Eric Campbell Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Arash Aloosh, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Jesus-Guillermo Llorente-Alvarez, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Livia Amato, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah C Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Diego Amaya, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Nordén, Peter O'Neill, James J. Angel, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual Gascó, Paolo Pasquariello, Lubos Pastor, Anna Dreber, Amadeus Bach, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Edwin Baidoo, Oliver-Alexander Press, Tina Prodromou, Talis J. Putnins, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Renjie Wang, Gaetan Bakalli, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Andrea Barbon, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, Oksana Bashchenko, Olivier Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Parampreet Christopher Bindra, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Geir Hoidal Bjonnes, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Jeffrey R. Black, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Bernard S. Black, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, Santiago Bohorquez, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Felix Holzmeister, Oleg Bondarenko, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Zhou Yueshen, Charles S. Bos, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, Lu Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Zhu, Ciril Bosch-Rosa, Marius Zoican, Remco C.J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Elie Bouri, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Christian T. Brownlees, Andreea Vaduva, Marcel Prokopczuk, Alejandro Avetikian, Zhen-Xing Wu, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Juergen Huber, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William Ming Yan Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Magnus Johanneson, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Michael Kirchler, Solomon Deku, Christophe Desagre, Chukwuma Dim, Thomas Dimpfl, Yun Jiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Michael Razen, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, Utz Weitzel, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, David Abad, Servanna Mianjun Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Matthijs A. Van Dijk

Research output: Contribution to journal › Article › Academic › peer-review

Abstract

In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty—nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.

Original languageEnglish
Pages (from-to)2339-2390
Number of pages52
JournalJournal of Finance
Volume79
Issue number3
Early online date17 Apr 2024
DOIs
Publication statusPublished - Jun 2024

Bibliographical note

Publisher Copyright:
© 2024 The Authors. The Journal of Finance published by Wiley Periodicals LLC on behalf of American Finance Association.

Keywords

  • liquidity
  • multi-analyst approach
  • non-standard errors

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    • 23 Citations
    • 1 Working paper

    • Non-Standard Errors

      Menkveld, A. J., Abudy, M., Grammig, J., Gregoire, V., Hagströmer, B., Hambuckers, J., Hapnes, E., Harris, J. H., Harris, L., Hartmann, S., Hasse, J.-B., Hautsch, N., Adrian, T., He, X.-Z. '., Heath, D., Hediger, S., Hendershott, T. J., Hibbert, A. M., Hjalmarsson, E. & Hoelscher, S. & 323 others, Hoffmann, P., Holden, C. W., Horenstein, A. R., Ait-Sahalia, Y., Huang, W., Huang, D., Hurlin, C., Ivashchenko, A., Iyer, S. R., Jahanshahloo, H., Jalkh, N., Jones, C. M., Jurkatis, S., Jylha, P., Akmansoy, O., Kaeck, A., Kaiser, G., Karam, A., Karmaziene, E., Kassner, B., Kaustia, M., Kazak, E., Kearney, F., van Kervel, V., Khan, S., Alcock, J., Khomyn, M., Klein, T., Klein, O., Klos, A., Koetter, M., Krahnen, J. P., Kolokolov, A., Korajczyk, R. A., Kozhan, R., Kwan, A., Alexeev, V., Lajaunie, Q., Lam, F. Y. E. C., Lambert, M., Langlois, H., Lausen, J., Lauter, T., Leippold, M., Levin, V., Li, Y., Li, H., Aloosh, A., Liew, C. Y., Lindner, T., Linton, O. B., Liu, J., Liu, A., Llorente-Alvarez, J.-G., Lof, M., Lohr, A., Longstaff, F. A., Lopez-Lira, A., Amato, L., Mankad, S., Mano, N., Marchal, A., Martineau, C., Mazzola, F., Meloso, D. C., Mihet, R., Mohan, V., Moinas, S., Moore, D., Amaya, D., Mu, L., Muravyev, D., Murphy, D., Neszveda, G., Neumeier, C., Nielsson, U., Nimalendran, M., Nolte, S., Nordén, L. L., O'Neill, P., Angel, J. J., Obaid, K., Ødegaard, B. A., Östberg, P., Painter, M., Palan, S., Palit, I., Park, A., Pascual Gascó, R., Pasquariello, P., Pastor, L., Dreber, A., Bach, A., Patel, V., Patton, A. J., Pearson, N. D., Pelizzon, L., Pelster, M., Pérignon, C., Pfiffer, C., Philip, R., Plíhal, T., Prakash, P., Baidoo, E., Press, O.-A., Prodromou, T., Putnins, T. J., Raizada, G., Rakowski, D. A., Ranaldo, A., Regis, L., Reitz, S., Renault, T., Wang, R., Bakalli, G., Renò, R., Riddiough, S., Rinne, K., Rintamäki, P., Riordan, R., Rittmannsberger, T., Rodríguez Longarela, I., Rösch, D., Rognone, L., Roseman, B., Barbon, A., Rosu, I., Roy, S., Rudolf, N., Rush, S., Rzayev, K., Rzeźnik, A., Sanford, A., Sankaran, H., Sarkar, A., Sarno, L., Bashchenko, O., Scaillet, O., Scharnowski, S., Schenk-Hoppé, K. R., Schertler, A., Schneider, M., Schroeder, F., Schürhoff, N., Schuster, P., Schwarz, M. A., Seasholes, M. S., Bindra, P. C., Seeger, N., Shachar, O., Shkilko, A., Shui, J., Sikic, M., Simion, G., Smales, L. A., Söderlind, P., Sojli, E., Sokolov, K., Bjonnes, G. H., Spokeviciute, L., Stefanova, D., Subrahmanyam, M. G., Neusüss, S., Szaszi, B., Talavera, O., Tang, Y., Taylor, N., Tham, W. W., Theissen, E., Black, J. R., Thimme, J., Tonks, I., Tran, H., Trapin, L., Trolle, A. B., Valente, G., Van Ness, R. A., Vasquez, A., Verousis, T., Verwijmeren, P., Black, B. S., Vilhelmsson, A., Vilkov, G., Vladimirov, V., Vogel, S., Voigt, S., Wagner, W., Walther, T., Weiss, P., van der Wel, M., Werner, I. M., Bohorquez, S., Westerholm, P. J., Westheide, C., Wipplinger, E., Wolf, M., Wolff, C. C. P., Wolk, L., Wong, W.-K., Wrampelmeyer, J., Xia, S., Xiu, D., Holzmeister, F., Bondarenko, O., Xu, K., Xu, C., Yadav, P. K., Yagüe, J., Yan, C., Yang, A., Yoo, W., Yu, W., Yu, S., Yueshen, B. Z., Bos, C. S., Yuferova, D., Zamojski, M., Zareei, A., Zeisberger, S., Zhang, S., Zhang, X., Zhong, Z., Zhou, Z. I., Zhou, C., Zhu, X., Bosch-Rosa, C., Zoican, M., Zwinkels, R. C. J., Chen, J., Duevski, T., Gao, G., Gemayel, R., Gilder, D., Kuhle, P., Pagnotta, E., Pelli, M., Bouri, E., Sönksen, J., Zhang, L., Ilczuk, K., Bogoev, D., Qian, Y., Wika, H. C., Yu, Y., Zhao, L., Mi, M., Bao, L., Brownlees, C. T., Vaduva, A., Prokopczuk, M., Avetikian, A., Wu, Z.-X., Calamia, A., Cao, V. N., Capelle-Blancard, G., Capera, L., Caporin, M., Huber, J., Carrion, A., Caskurlu, T., Chakrabarty, B., Chernov, M., Cheung, W. M. Y., Chincarini, L. B., Chordia, T., Chow, S. C., Clapham, B., Colliard, J.-E., Johanneson, M., Comerton-Forde, C., Curran, E., Dao, T., Dare, W., Davies, R. J., De Blasis, R., De Nard, G., Declerck, F., Deev, O., Degryse, H., Kirchler, M., Deku, S., Desagre, C., Dim, C., Dimpfl, T., Dong, Y. J., Drummond, P., Dudda, T., Dumitrescu, A., Dyakov, T., Razen, M., Dyhrberg, A. H., Dzieliński, M., Eksi, A., El Kalak, I., ter Ellen, S., Eugster, N., Evans, M. D. D., Farrell, M., Félez-Viñas, E., Ferrara, G., Weitzel, U., FERROUHI, E. M., Flori, A., Fluharty-Jaidee, J., Foley, S., Fong, K. Y. L., Foucault, T., Franus, T., Franzoni, F. A., Frijns, B., Frömmel, M., Abad, D., Fu, S. M., Füllbrunn, S., Gan, B., Gehrig, T., Gerritsen, D., Gil-Bazo, J., Glosten, L. R., Gomez, T., Gorbenko, A., Güçbilmez, U. & Van Dijk, M. A., 23 Nov 2021, SSRN, p. 1-56, (University of St.Gallen, School of Finance Research Paper; no. 2021/17).

      Research output: Working paper › Academic

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