Nonstandard Errors

AJ Menkveld; A Dreber; F Holzmeister; J Huber; M Johannesson; M Kirchler; S Neusüss; M Razen; U Weitzel; D Abad-Díiaz; M Abudy; T Adrian; Y Ait-Sahalia; O Akmansoy; JT Alcock; V Alexeev; A Aloosh; L Amato; D Amaya; JJ Angel; AT Avetikian; A Bach; E Baidoo; G Bakalli; L Bao; A Barbon; O Bashchenko; PC Bindra; GH Bjonnes; JR Black; BS Black; D Bogoev; SB Correa; O Bondarenko; CS Bos; C Bosch-Rosa; E Bouri; C Brownlees; A Calamia; VN Cao; G Capelle-Blancard; LMC Romero; M Caporin; A Carrion; T Caskurlu; B Chakrabarty; J Chen; M Chernov; W Cheung; LB Chincarini; T Chordia; SC Chow; B Clapham; JE Colliard; C Comerton-Forde; E Curran; T Dao; W Dare; RJ Davies; R De Blasis; GF De Nard; F Declerck; O Deev; H Degryse; SY Deku; C Desagre; MA Van Dijk; C Dim; T Dimpfl; YJ Dong; PA Drummond; T Dudda; T Duevski; A Dumitrescu; T Dyakov; AH Dyhrberg; M Dzielinski; A Eksi; I El Kalak; S Ter Ellen; N Eugster; MDD Evans; M Farrell; E Felez-Vinas; G Ferrara; E Ferrouhi; A Flori; JT Fluharty-Jaidee; SDV Foley; KYL Fong; T Foucault; T Franus; F Franzoni; B Frijns; M Frömmel; SM Fu; SC Füllbrunn; BQ Gan; G Gao; TP Gehrig; R Gemayel; D Gerritsen; J Gil-Bazo; D Gilder; LR Glosten; T Gomez; A Gorbenko; J Grammig; V Grégoire; U Güçbilmez; B Hagströmer; J Hambuckers; E Hapnes; JH Harris; L Harris; S Hartmann; JB Hasse; N Hautsch; XZ He; D Heath; S Hediger; T Hendershott; AM Hibbert; E Hjalmarsson; SA Hoelscher; P Hoffmann; CW Holden; AR Horenstein; WQ Huang; D Huang; C Hurlin; K Ilczuk; A Ivashchenko; SR Iyer; H Jahanshahloo; N Jalkh; CM Jones; S Jurkatis; P Jylhä; AT Kaeck; G Kaiser; A Karam; E Karmaziene; B Kassner; M Kaustia; E Kazak; F Kearney; V Van Kervel; SA Khan; MK Khomyn; T Klein; O Klein; A Klos; M Koetter; A Kolokolov; RA Korajczyk; R Kozhan; JP Krahnen; P Kuhle; A Kwan; Q Lajaunie; FYEC Lam; M Lambert; H Langlois; J Lausen; T Lauter; M Leippold; V Levin; YJ Li; H Li; CY Liew; T Lindner; O Linton; JC Liu; AQ Liu; G Llorente; M Lof; A Lohr; F Longstaff; A Lopez-Lira; S Mankad; N Mano; A Marchal; C Martineau; F Mazzola; D Meloso; MG Mi; R Mihet; V Mohan; S Moinas; D Moore; LY Mu; D Muravyev; D Murphy; G Neszveda; D Muravyev; D Murphy; G Neszveda; C Neumeier; U Nielsson; M Nimalendran; S Nolte; LL Norden; P O'Neill; K Obaid; BA Odegaard; P Östberg; E Pagnotta; M Painter; S Palan; IJ Palit; A Park; R Pascual; P Pasquariello; L Pastor; V Patel; AJ Patton; ND Pearson; L Pelizzon; M Pelli; M Pelster; C Pérignon; C Pfiffer; R Philip; T Plíhal; P Prakash; OA Press; T Prodromou; M Prokopczuk; T Putnins; Y Qian; G Raizada; D Rakowski; A Ranaldo; L Regis; S Reitz; T Renault; RW Renjie; R Reno; SJ Riddiough; K Rinne; P Rintamäki; R Riordan; T Rittmannsberger; IR Longarela; D Roesch; L Rognone; B Roseman; I Rosu; S Roy; N Rudolf; SR Rush; K Rzayev; AA Rzeznik; A Sanford; H Sankaran; A Sarkar; L Sarno; O Scaillet; S Scharnowski; KR Schenk-Hoppé; A Schertler; M Schneider; F Schroeder; N Schürhoff; P Schuster; MA Schwarz; MS Seasholes; NJ Seeger; O Shachar; A Shkilko; J Shui; M Sikic; G Simion; LA Smales; P Söderlind; E Sojli; K Sokolov; J Sönksen; L Spokeviciute; D Stefanova; MG Subrahmanyam; B Szaszi; O Talavera; YH Tang; N Taylor; WW Tham; E Theissen; J Thimme; I Tonks; H Tran; L Trapin; AB Trolle; MA Vaduva; G Valente; RA Van Ness; A Vasquez; T Verousis; P Verwijmeren; A Vilhelmsson; G Vilkov; V Vladimirov; S Vogel; S Voigt; W Wagner; T Walther; P Weiss; M Van der Wel; IM Werner; IM Werner; PJ Westerholm; C Westheide; HC Wika; E Wipplinger; M Wolf; CCP Wolff; L Wolk; WK Wong; J Wrampelmeyer; ZX Wu; S Xia; DC Xiu; K Xu; CH Xu; PK Yadav; J Yagüe; C Yan; A Yang; W Yoo; WJ Yu; YH Yu; SH Yu; BZ Yueshen; D Yuferova; M Zamojski; A Zareei; SM Zeisberger; L Zhang; SS Zhang; XY Zhang; L Zhao; Z Zhong; ZI Zhou; C Zhou; XS Zhu; M Zoican; R Zwinkels

doi:10.1111/jofi.13337

Nonstandard Errors

AJ Menkveld, A Dreber, F Holzmeister, J Huber, M Johannesson, M Kirchler, S Neusüss, M Razen, U Weitzel, D Abad-Díiaz, M Abudy, T Adrian, Y Ait-Sahalia, O Akmansoy, JT Alcock, V Alexeev, A Aloosh, L Amato, D Amaya, JJ AngelAT Avetikian, A Bach, E Baidoo, G Bakalli, L Bao, A Barbon, O Bashchenko, PC Bindra, GH Bjonnes, JR Black, BS Black, D Bogoev, SB Correa, O Bondarenko, CS Bos, C Bosch-Rosa, E Bouri, C Brownlees, A Calamia, VN Cao, G Capelle-Blancard, LMC Romero, M Caporin, A Carrion, T Caskurlu, B Chakrabarty, J Chen, M Chernov, W Cheung, LB Chincarini, T Chordia, SC Chow, B Clapham, JE Colliard, C Comerton-Forde, E Curran, T Dao, W Dare, RJ Davies, R De Blasis, GF De Nard, F Declerck, O Deev, H Degryse, SY Deku, C Desagre, MA Van Dijk, C Dim, T Dimpfl, YJ Dong, PA Drummond, T Dudda, T Duevski, A Dumitrescu, T Dyakov, AH Dyhrberg, M Dzielinski, A Eksi, I El Kalak, S Ter Ellen, N Eugster, MDD Evans, M Farrell, E Felez-Vinas, G Ferrara, E Ferrouhi, A Flori, JT Fluharty-Jaidee, SDV Foley, KYL Fong, T Foucault, T Franus, F Franzoni, B Frijns, M Frömmel, SM Fu, SC Füllbrunn, BQ Gan, G Gao, TP Gehrig, R Gemayel, D Gerritsen, J Gil-Bazo, D Gilder, LR Glosten, T Gomez, A Gorbenko, J Grammig, V Grégoire, U Güçbilmez, B Hagströmer, J Hambuckers, E Hapnes, JH Harris, L Harris, S Hartmann, JB Hasse, N Hautsch, XZ He, D Heath, S Hediger, T Hendershott, AM Hibbert, E Hjalmarsson, SA Hoelscher, P Hoffmann, CW Holden, AR Horenstein, WQ Huang, D Huang, C Hurlin, K Ilczuk, A Ivashchenko, SR Iyer, H Jahanshahloo, N Jalkh, CM Jones, S Jurkatis, P Jylhä, AT Kaeck, G Kaiser, A Karam, E Karmaziene, B Kassner, M Kaustia, E Kazak, F Kearney, V Van Kervel, SA Khan, MK Khomyn, T Klein, O Klein, A Klos, M Koetter, A Kolokolov, RA Korajczyk, R Kozhan, JP Krahnen, P Kuhle, A Kwan, Q Lajaunie, FYEC Lam, M Lambert, H Langlois, J Lausen, T Lauter, M Leippold, V Levin, YJ Li, H Li, CY Liew, T Lindner, O Linton, JC Liu, AQ Liu, G Llorente, M Lof, A Lohr, F Longstaff, A Lopez-Lira, S Mankad, N Mano, A Marchal, C Martineau, F Mazzola, D Meloso, MG Mi, R Mihet, V Mohan, S Moinas, D Moore, LY Mu, D Muravyev, D Murphy, G Neszveda, D Muravyev, D Murphy, G Neszveda, C Neumeier, U Nielsson, M Nimalendran, S Nolte, LL Norden, P O'Neill, K Obaid, BA Odegaard, P Östberg, E Pagnotta, M Painter, S Palan, IJ Palit, A Park, R Pascual, P Pasquariello, L Pastor, V Patel, AJ Patton, ND Pearson, L Pelizzon, M Pelli, M Pelster, C Pérignon, C Pfiffer, R Philip, T Plíhal, P Prakash, OA Press, T Prodromou, M Prokopczuk, T Putnins, Y Qian, G Raizada, D Rakowski, A Ranaldo, L Regis, S Reitz, T Renault, RW Renjie, R Reno, SJ Riddiough, K Rinne, P Rintamäki, R Riordan, T Rittmannsberger, IR Longarela, D Roesch, L Rognone, B Roseman, I Rosu, S Roy, N Rudolf, SR Rush, K Rzayev, AA Rzeznik, A Sanford, H Sankaran, A Sarkar, L Sarno, O Scaillet, S Scharnowski, KR Schenk-Hoppé, A Schertler, M Schneider, F Schroeder, N Schürhoff, P Schuster, MA Schwarz, MS Seasholes, NJ Seeger, O Shachar, A Shkilko, J Shui, M Sikic, G Simion, LA Smales, P Söderlind, E Sojli, K Sokolov, J Sönksen, L Spokeviciute, D Stefanova, MG Subrahmanyam, B Szaszi, O Talavera, YH Tang, N Taylor, WW Tham, E Theissen, J Thimme, I Tonks, H Tran, L Trapin, AB Trolle, MA Vaduva, G Valente, RA Van Ness, A Vasquez, T Verousis, P Verwijmeren, A Vilhelmsson, G Vilkov, V Vladimirov, S Vogel, S Voigt, W Wagner, T Walther, P Weiss, M Van der Wel, IM Werner, IM Werner, PJ Westerholm, C Westheide, HC Wika, E Wipplinger, M Wolf, CCP Wolff, L Wolk, WK Wong, J Wrampelmeyer, ZX Wu, S Xia, DC Xiu, K Xu, CH Xu, PK Yadav, J Yagüe, C Yan, A Yang, W Yoo, WJ Yu, YH Yu, SH Yu, BZ Yueshen, D Yuferova, M Zamojski, A Zareei, SM Zeisberger, L Zhang, SS Zhang, XY Zhang, L Zhao, Z Zhong, ZI Zhou, C Zhou, XS Zhu, M Zoican, R Zwinkels

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 language	English
Pages (from-to)	2339-2390
Number of pages	52
Journal	Journal of Finance
Volume	79
Issue number	3
DOIs	https://doi.org/10.1111/jofi.13337
Publication status	Published - Jun 2024

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10.1111/jofi.13337

Cite this

Menkveld, AJ., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Neusüss, S., Razen, M., Weitzel, U., Abad-Díiaz, D., Abudy, M., Adrian, T., Ait-Sahalia, Y., Akmansoy, O., Alcock, JT., Alexeev, V., Aloosh, A., Amato, L., Amaya, D., ... Zwinkels, R. (2024). Nonstandard Errors. Journal of Finance, 79(3), 2339-2390. https://doi.org/10.1111/jofi.13337

@article{fa3ac1f269064e468abb85d92c219790,

title = "Nonstandard Errors",

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. ",

author = "AJ Menkveld and A Dreber and F Holzmeister and J Huber and M Johannesson and M Kirchler and S Neus{\"u}ss and M Razen and U Weitzel and D Abad-D{\'i}iaz and M Abudy and T Adrian and Y Ait-Sahalia and O Akmansoy and JT Alcock and V Alexeev and A Aloosh and L Amato and D Amaya and JJ Angel and AT Avetikian and A Bach and E Baidoo and G Bakalli and L Bao and A Barbon and O Bashchenko and PC Bindra and GH Bjonnes and JR Black and BS Black and D Bogoev and SB Correa and O Bondarenko and CS Bos and C Bosch-Rosa and E Bouri and C Brownlees and A Calamia and VN Cao and G Capelle-Blancard and LMC Romero and M Caporin and A Carrion and T Caskurlu and B Chakrabarty and J Chen and M Chernov and W Cheung and LB Chincarini and T Chordia and SC Chow and B Clapham and JE Colliard and C Comerton-Forde and E Curran and T Dao and W Dare and RJ Davies and {De Blasis}, R and {De Nard}, GF and F Declerck and O Deev and H Degryse and SY Deku and C Desagre and {Van Dijk}, MA and C Dim and T Dimpfl and YJ Dong and PA Drummond and T Dudda and T Duevski and A Dumitrescu and T Dyakov and AH Dyhrberg and M Dzielinski and A Eksi and {El Kalak}, I and {Ter Ellen}, S and N Eugster and MDD Evans and M Farrell and E Felez-Vinas and G Ferrara and E Ferrouhi and A Flori and JT Fluharty-Jaidee and SDV Foley and KYL Fong and T Foucault and T Franus and F Franzoni and B Frijns and M Fr{\"o}mmel and SM Fu and SC F{\"u}llbrunn and BQ Gan and G Gao and TP Gehrig and R Gemayel and D Gerritsen and J Gil-Bazo and D Gilder and LR Glosten and T Gomez and A Gorbenko and J Grammig and V Gr{\'e}goire and U G{\"u}{\c c}bilmez and B Hagstr{\"o}mer and J Hambuckers and E Hapnes and JH Harris and L Harris and S Hartmann and JB Hasse and N Hautsch and XZ He and D Heath and S Hediger and T Hendershott and AM Hibbert and E Hjalmarsson and SA Hoelscher and P Hoffmann and CW Holden and AR Horenstein and WQ Huang and D Huang and C Hurlin and K Ilczuk and A Ivashchenko and SR Iyer and H Jahanshahloo and N Jalkh and CM Jones and S Jurkatis and P Jylh{\"a} and AT Kaeck and G Kaiser and A Karam and E Karmaziene and B Kassner and M Kaustia and E Kazak and F Kearney and {Van Kervel}, V and SA Khan and MK Khomyn and T Klein and O Klein and A Klos and M Koetter and A Kolokolov and RA Korajczyk and R Kozhan and JP Krahnen and P Kuhle and A Kwan and Q Lajaunie and FYEC Lam and M Lambert and H Langlois and J Lausen and T Lauter and M Leippold and V Levin and YJ Li and H Li and CY Liew and T Lindner and O Linton and JC Liu and AQ Liu and G Llorente and M Lof and A Lohr and F Longstaff and A Lopez-Lira and S Mankad and N Mano and A Marchal and C Martineau and F Mazzola and D Meloso and MG Mi and R Mihet and V Mohan and S Moinas and D Moore and LY Mu and D Muravyev and D Murphy and G Neszveda and D Muravyev and D Murphy and G Neszveda and C Neumeier and U Nielsson and M Nimalendran and S Nolte and LL Norden and P O'Neill and K Obaid and BA Odegaard and P {\"O}stberg and E Pagnotta and M Painter and S Palan and IJ Palit and A Park and R Pascual and P Pasquariello and L Pastor and V Patel and AJ Patton and ND Pearson and L Pelizzon and M Pelli and M Pelster and C P{\'e}rignon and C Pfiffer and R Philip and T Pl{\'i}hal and P Prakash and OA Press and T Prodromou and M Prokopczuk and T Putnins and Y Qian and G Raizada and D Rakowski and A Ranaldo and L Regis and S Reitz and T Renault and RW Renjie and R Reno and SJ Riddiough and K Rinne and P Rintam{\"a}ki and R Riordan and T Rittmannsberger and IR Longarela and D Roesch and L Rognone and B Roseman and I Rosu and S Roy and N Rudolf and SR Rush and K Rzayev and AA Rzeznik and A Sanford and H Sankaran and A Sarkar and L Sarno and O Scaillet and S Scharnowski and KR Schenk-Hopp{\'e} and A Schertler and M Schneider and F Schroeder and N Sch{\"u}rhoff and P Schuster and MA Schwarz and MS Seasholes and NJ Seeger and O Shachar and A Shkilko and J Shui and M Sikic and G Simion and LA Smales and P S{\"o}derlind and E Sojli and K Sokolov and J S{\"o}nksen and L Spokeviciute and D Stefanova and MG Subrahmanyam and B Szaszi and O Talavera and YH Tang and N Taylor and WW Tham and E Theissen and J Thimme and I Tonks and H Tran and L Trapin and AB Trolle and MA Vaduva and G Valente and {Van Ness}, RA and A Vasquez and T Verousis and P Verwijmeren and A Vilhelmsson and G Vilkov and V Vladimirov and S Vogel and S Voigt and W Wagner and T Walther and P Weiss and {Van der Wel}, M and IM Werner and IM Werner and PJ Westerholm and C Westheide and HC Wika and E Wipplinger and M Wolf and CCP Wolff and L Wolk and WK Wong and J Wrampelmeyer and ZX Wu and S Xia and DC Xiu and K Xu and CH Xu and PK Yadav and J Yag{\"u}e and C Yan and A Yang and W Yoo and WJ Yu and YH Yu and SH Yu and BZ Yueshen and D Yuferova and M Zamojski and A Zareei and SM Zeisberger and L Zhang and SS Zhang and XY Zhang and L Zhao and Z Zhong and ZI Zhou and C Zhou and XS Zhu and M Zoican and R Zwinkels",

year = "2024",

month = jun,

doi = "10.1111/jofi.13337",

language = "English",

volume = "79",

pages = "2339--2390",

journal = "Journal of Finance",

issn = "0022-1082",

publisher = "Wiley-Blackwell Publishing Ltd",

number = "3",

}

Menkveld, AJ, Dreber, A, Holzmeister, F, Huber, J, Johannesson, M, Kirchler, M, Neusüss, S, Razen, M, Weitzel, U, Abad-Díiaz, D, Abudy, M, Adrian, T, Ait-Sahalia, Y, Akmansoy, O, Alcock, JT, Alexeev, V, Aloosh, A, Amato, L, Amaya, D, Angel, JJ, Avetikian, AT, Bach, A, Baidoo, E, Bakalli, G, Bao, L, Barbon, A, Bashchenko, O, Bindra, PC, Bjonnes, GH, Black, JR, Black, BS, Bogoev, D, Correa, SB, Bondarenko, O, Bos, CS, Bosch-Rosa, C, Bouri, E, Brownlees, C, Calamia, A, Cao, VN, Capelle-Blancard, G, Romero, LMC, Caporin, M, Carrion, A, Caskurlu, T, Chakrabarty, B, Chen, J, Chernov, M, Cheung, W, Chincarini, LB, Chordia, T, Chow, SC, Clapham, B, Colliard, JE, Comerton-Forde, C, Curran, E, Dao, T, Dare, W, Davies, RJ, De Blasis, R, De Nard, GF, Declerck, F, Deev, O, Degryse, H, Deku, SY, Desagre, C, Van Dijk, MA, Dim, C, Dimpfl, T, Dong, YJ, Drummond, PA, Dudda, T, Duevski, T, Dumitrescu, A, Dyakov, T, Dyhrberg, AH, Dzielinski, M, Eksi, A, El Kalak, I, Ter Ellen, S, Eugster, N, Evans, MDD, Farrell, M, Felez-Vinas, E, Ferrara, G, Ferrouhi, E, Flori, A, Fluharty-Jaidee, JT, Foley, SDV, Fong, KYL, Foucault, T, Franus, T, Franzoni, F, Frijns, B, Frömmel, M, Fu, SM, Füllbrunn, SC, Gan, BQ, Gao, G, Gehrig, TP, Gemayel, R, Gerritsen, D, Gil-Bazo, J, Gilder, D, Glosten, LR, Gomez, T, Gorbenko, A, Grammig, J, Grégoire, V, Güçbilmez, U, Hagströmer, B, Hambuckers, J, Hapnes, E, Harris, JH, Harris, L, Hartmann, S, Hasse, JB, Hautsch, N, He, XZ, Heath, D, Hediger, S, Hendershott, T, Hibbert, AM, Hjalmarsson, E, Hoelscher, SA, Hoffmann, P, Holden, CW, Horenstein, AR, Huang, WQ, Huang, D, Hurlin, C, Ilczuk, K, Ivashchenko, A, Iyer, SR, Jahanshahloo, H, Jalkh, N, Jones, CM, Jurkatis, S, Jylhä, P, Kaeck, AT, Kaiser, G, Karam, A, Karmaziene, E, Kassner, B, Kaustia, M, Kazak, E, Kearney, F, Van Kervel, V, Khan, SA, Khomyn, MK, Klein, T, Klein, O, Klos, A, Koetter, M, Kolokolov, A, Korajczyk, RA, Kozhan, R, Krahnen, JP, Kuhle, P, Kwan, A, Lajaunie, Q, Lam, FYEC, Lambert, M, Langlois, H, Lausen, J, Lauter, T, Leippold, M, Levin, V, Li, YJ, Li, H, Liew, CY, Lindner, T, Linton, O, Liu, JC, Liu, AQ, Llorente, G, Lof, M, Lohr, A, Longstaff, F, Lopez-Lira, A, Mankad, S, Mano, N, Marchal, A, Martineau, C, Mazzola, F, Meloso, D, Mi, MG, Mihet, R, Mohan, V, Moinas, S, Moore, D, Mu, LY, Muravyev, D, Murphy, D, Neszveda, G, Muravyev, D, Murphy, D, Neszveda, G, Neumeier, C, Nielsson, U, Nimalendran, M, Nolte, S, Norden, LL, O'Neill, P, Obaid, K, Odegaard, BA, Östberg, P, Pagnotta, E, Painter, M, Palan, S, Palit, IJ, Park, A, Pascual, R, Pasquariello, P, Pastor, L, Patel, V, Patton, AJ, Pearson, ND, Pelizzon, L, Pelli, M, Pelster, M, Pérignon, C, Pfiffer, C, Philip, R, Plíhal, T, Prakash, P, Press, OA, Prodromou, T, Prokopczuk, M, Putnins, T, Qian, Y, Raizada, G, Rakowski, D, Ranaldo, A, Regis, L, Reitz, S, Renault, T, Renjie, RW, Reno, R, Riddiough, SJ, Rinne, K, Rintamäki, P, Riordan, R, Rittmannsberger, T, Longarela, IR, Roesch, D, Rognone, L, Roseman, B, Rosu, I, Roy, S, Rudolf, N, Rush, SR, Rzayev, K, Rzeznik, AA, Sanford, A, Sankaran, H, Sarkar, A, Sarno, L, Scaillet, O, Scharnowski, S, Schenk-Hoppé, KR, Schertler, A, Schneider, M, Schroeder, F, Schürhoff, N, Schuster, P, Schwarz, MA, Seasholes, MS, Seeger, NJ, Shachar, O, Shkilko, A, Shui, J, Sikic, M, Simion, G, Smales, LA, Söderlind, P, Sojli, E, Sokolov, K, Sönksen, J, Spokeviciute, L, Stefanova, D, Subrahmanyam, MG, Szaszi, B, Talavera, O, Tang, YH, Taylor, N, Tham, WW, Theissen, E, Thimme, J, Tonks, I, Tran, H, Trapin, L, Trolle, AB, Vaduva, MA, Valente, G, Van Ness, RA, Vasquez, A, Verousis, T, Verwijmeren, P, Vilhelmsson, A, Vilkov, G, Vladimirov, V, Vogel, S, Voigt, S, Wagner, W, Walther, T, Weiss, P, Van der Wel, M, Werner, IM, Werner, IM, Westerholm, PJ, Westheide, C, Wika, HC, Wipplinger, E, Wolf, M, Wolff, CCP, Wolk, L, Wong, WK, Wrampelmeyer, J, Wu, ZX, Xia, S, Xiu, DC, Xu, K, Xu, CH, Yadav, PK, Yagüe, J, Yan, C, Yang, A, Yoo, W, Yu, WJ, Yu, YH, Yu, SH, Yueshen, BZ, Yuferova, D, Zamojski, M, Zareei, A, Zeisberger, SM, Zhang, L, Zhang, SS, Zhang, XY, Zhao, L, Zhong, Z, Zhou, ZI, Zhou, C, Zhu, XS, Zoican, M & Zwinkels, R 2024, 'Nonstandard Errors', Journal of Finance, vol. 79, no. 3, pp. 2339-2390. https://doi.org/10.1111/jofi.13337

TY - JOUR

T1 - Nonstandard Errors

AU - Menkveld, AJ

AU - Dreber, A

AU - Holzmeister, F

AU - Huber, J

AU - Johannesson, M

AU - Kirchler, M

AU - Neusüss, S

AU - Razen, M

AU - Weitzel, U

AU - Abad-Díiaz, D

AU - Abudy, M

AU - Adrian, T

AU - Ait-Sahalia, Y

AU - Akmansoy, O

AU - Alcock, JT

AU - Alexeev, V

AU - Aloosh, A

AU - Amato, L

AU - Amaya, D

AU - Angel, JJ

AU - Avetikian, AT

AU - Bach, A

AU - Baidoo, E

AU - Bakalli, G

AU - Bao, L

AU - Barbon, A

AU - Bashchenko, O

AU - Bindra, PC

AU - Bjonnes, GH

AU - Black, JR

AU - Black, BS

AU - Bogoev, D

AU - Correa, SB

AU - Bondarenko, O

AU - Bos, CS

AU - Bosch-Rosa, C

AU - Bouri, E

AU - Brownlees, C

AU - Calamia, A

AU - Cao, VN

AU - Capelle-Blancard, G

AU - Romero, LMC

AU - Caporin, M

AU - Carrion, A

AU - Caskurlu, T

AU - Chakrabarty, B

AU - Chen, J

AU - Chernov, M

AU - Cheung, W

AU - Chincarini, LB

AU - Chordia, T

AU - Chow, SC

AU - Clapham, B

AU - Colliard, JE

AU - Comerton-Forde, C

AU - Curran, E

AU - Dao, T

AU - Dare, W

AU - Davies, RJ

AU - De Blasis, R

AU - De Nard, GF

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PY - 2024/6

Y1 - 2024/6

N2 - 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.

AB - 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.

U2 - 10.1111/jofi.13337

DO - 10.1111/jofi.13337

M3 - Article

SN - 0022-1082

VL - 79

SP - 2339

EP - 2390

JO - Journal of Finance

JF - Journal of Finance

IS - 3

ER -

Nonstandard Errors

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