Nonstandard Errors

作者：Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Jürgen Huber, Magnus Johannesson, Michael Kirchler, Sebastian Neusüss, Michael Razen, Utz Weitzel, DAVID ABAD‐DÍAZ, Menachem Abudy, Tobias Adrian, Yacine Aı̈t-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James J. Angel, ALEJANDRO T. AVETIKIAN, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Bao Li, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Høidal Bjønnes, Jeffrey R. Black, Bernard S. Black, Dimitar Bogoev, SANTIAGO BOHORQUEZ CORREA, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle‐Blancard, LAURA M. CAPERA ROMERO, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Jian Chen, Mikhail Chernov, William Cheung, Ludwig B. Chincarini, Tarun Chordia, SHEUNG‐CHI CHOW, Benjamin Clapham, Jean-Édouard Colliard, Carole Comerton‐Forde, Edward T. Curran, Thông Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, GIANLUCA F. DE NARD, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Y. Deku, Christophe Desagre, Mathijs A. van Dijk, Chukwuma Dim, Thomas Dimpfl, Yun Jiang Dong, P. Drummond, Tom L. Dudda, Teodor Duevski, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, ESTER FELEZ‐VINAS, Gerardo Ferrara, 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, SERVANNA M. FU, Sascha Füllbrunn, Baoqing Gan, Ge Gao, Thomas Gehrig, Roland Gemayel, Dirk Gerritsen, Javier Gil‐Bazo, Dudley Gilder, Lawrence R. Glosten, Thomas M. Gomez, Arseny Gorbenko, Joachim Grammig, Vincent Grégoire, Ufuk Güçbilmez, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean‐Baptiste Hasse, Nikolaus Hautsch, Xue‐Zhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, SETH A. HOELSCHER, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Konrad Ilczuk, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylhä, Andreas Kaeck, G. Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, E. S. Kazak, Fearghal Kearney, Vincent van Kervel, Saad Ahmed Khan, MARTA K. KHOMYN, Tony Klein, Olga A. Klein, Alexander Klos, Michael Koetter, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Jan Pieter Krahnen, Paul Kuhle, Amy Dict-Weng Kwan, Quentin Lajaunie, F.Y. Eric C. Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, MICHAEL G. MI, Roxana Mihet, V. Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, DERMOT MURPHY, Gábor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Nordén, Peter O’Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Emiliano Pagnotta, Marcus Painter, Stefan Palan, IMON J. PALIT, Andreas Park, Roberto Pascual, Paolo Pasquariello, Ľuboš Pástor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Michele Pelli, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Marcel Prokopczuk, Tālis J. Putniņš, Ya Qian, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, REX W. RENJIE, Roberto Renò, Steven Riddiough, Kalle Rinne, PAUL RINTAMÄKI, Ryan Riordan, Thomas Rittmannsberger, Inaki Rodriguez Longarela, DOMINIK ROESCH, Lavinia Rognone, Brian Roseman, Ioanid Roşu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony J. Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, Olivier Scaillet, Stefan Scharnowski, Klaus Reiner Schenk–Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Šikić, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Jantje Sönksen, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Barnabás Szászi, Oleksandr Talavera, Yuehua Tang, Nick Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Maria Văduva, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, VLADIMIR VLADIMIROV, SEBASTIAN VOGEL, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiß, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Hans C. Wika, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing‐Keung Wong, Jan Wrampelmeyer, Zhenhua Wu, Shuo Xia, Dacheng Xiu, KE XU, Caihong Xu, Pradeep Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Yihe Yu, Shihao Yu, Bart Zhou Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, Lu Zhang, S. Sarah Zhang, Xiaoyu Zhang, Lu Zhao, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, XINGYU S. ZHU, Marius Zoican, Remco C. J. Zwinkels · 发表于：The Journal of Finance · 年份：2024 · DOI：10.1111/jofi.13337 · 被引用次数：97 · 研究领域：Mathematical and Theoretical Analysis

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.