Non-Standard Errors
Publication date
2024-06
Authors
Menkveld, Albert J.
Abudy, Menachem (Meni)
Grammig, Joachim
Gregoire, Vincent
Hagströmer, Björn
Hambuckers, Julien
Hapnes, Erik
Harris, Jeffrey H.
Harris, Lawrence
Hartmann, Simon
Editors
Advisors
Supervisors
Document Type
Article
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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.
Keywords
liquidity, multi-analyst approach, non-standard errors, Economics and Econometrics, Accounting, Finance
Citation
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 T, Heath, D, Hediger, S, Hendershott, T J, Hibbert, A M, Hjalmarsson, E, Hoelscher, S, 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, L, 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 2024, 'Non-Standard Errors', Journal of Finance, vol. 79, no. 3, pp. 2339-2390. https://doi.org/10.1111/jofi.13337