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Nonstandard Errors

Publication ,  Journal Article
MENKVELD, AJ; DREBER, A; HOLZMEISTER, F; HUBER, J; JOHANNESSON, M; KIRCHLER, M; NEUSÜß, S; RAZEN, M; WEITZEL, UTZ; ABAD‐DÍAZ, D; ABUDY, MM ...
Published in: The Journal of Finance
June 2024

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.

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Published In

The Journal of Finance

DOI

EISSN

1540-6261

ISSN

0022-1082

Publication Date

June 2024

Volume

79

Issue

3

Start / End Page

2339 / 2390

Publisher

Wiley

Related Subject Headings

  • Finance
  • 3801 Applied economics
  • 3502 Banking, finance and investment
  • 1502 Banking, Finance and Investment
 

Citation

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MENKVELD, A. J., DREBER, A., HOLZMEISTER, F., HUBER, J., JOHANNESSON, M., KIRCHLER, M., … ZWINKELS, R. (2024). Nonstandard Errors. The Journal of Finance, 79(3), 2339–2390. https://doi.org/10.1111/jofi.13337
MENKVELD, ALBERT J., A. N. N. A. DREBER, F. E. L. I. X. HOLZMEISTER, J. U. E. R. G. E. N. HUBER, M. A. G. N. U. S. JOHANNESSON, M. I. C. H. A. E. L. KIRCHLER, S. E. B. A. S. T. I. A. N. NEUSÜß, et al. “Nonstandard Errors.” The Journal of Finance 79, no. 3 (June 2024): 2339–90. https://doi.org/10.1111/jofi.13337.
MENKVELD AJ, DREBER A, HOLZMEISTER F, HUBER J, JOHANNESSON M, KIRCHLER M, et al. Nonstandard Errors. The Journal of Finance. 2024 Jun;79(3):2339–90.
MENKVELD, ALBERT J., et al. “Nonstandard Errors.” The Journal of Finance, vol. 79, no. 3, Wiley, June 2024, pp. 2339–90. Crossref, doi:10.1111/jofi.13337.
MENKVELD AJ, DREBER A, HOLZMEISTER F, HUBER J, JOHANNESSON M, KIRCHLER M, NEUSÜß S, RAZEN M, WEITZEL UTZ, ABAD‐DÍAZ D, ABUDY MM, 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 LI, BARBON A, BASHCHENKO O, BINDRA PC, BJØNNES 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 S, CLAPHAM B, COLLIARD J, COMERTON‐FORDE C, CURRAN E, DAO T, DARE W, DAVIES RJ, BLASIS RD, NARD GFD, DECLERCK F, DEEV O, DEGRYSE H, DEKU SY, DESAGRE C, DIJK MAV, DIM C, DIMPFL T, DONG YJ, DRUMMOND PA, DUDDA TOM, DUEVSKI T, DUMITRESCU A, DYAKOV T, DYHRBERG AH, DZIELIŃSKI M, EKSI A, KALAK IE, ELLEN ST, EUGSTER N, EVANS MDD, FARRELL M, FELEZ‐VINAS E, FERRARA G, FERROUHI EM, FLORI A, FLUHARTY‐JAIDEE JT, FOLEY SDV, FONG KYL, FOUCAULT T, FRANUS T, FRANZONI F, FRIJNS B, FRÖMMEL M, FU SM, FÜLLBRUNN SC, GAN B, GAO GE, 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 J, HAUTSCH N, HE XT, HEATH D, HEDIGER S, HENDERSHOTT T, HIBBERT AM, HJALMARSSON E, HOELSCHER SA, HOFFMANN P, HOLDEN CW, HORENSTEIN AR, HUANG W, HUANG DA, 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, KERVEL VV, KHAN SA, KHOMYN MK, KLEIN T, KLEIN O, KLOS A, KOETTER M, KOLOKOLOV A, KORAJCZYK RA, KOZHAN R, KRAHNEN JP, KUHLE P, KWAN AMY, LAJAUNIE Q, LAM FYEC, LAMBERT M, LANGLOIS H, LAUSEN J, LAUTER T, LEIPPOLD M, LEVIN V, LI Y, LI HUI, LIEW CY, LINDNER T, LINTON O, LIU J, LIU A, 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 L, MURAVYEV D, MURPHY D, NESZVEDA G, NEUMEIER C, NIELSSON ULF, NIMALENDRAN M, NOLTE S, NORDEN LL, O’NEILL P, OBAID K, ØDEGAARD BA, ÖSTBERG PER, 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 O, PRODROMOU T, PROKOPCZUK M, PUTNINS T, QIAN YA, 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, ROŞU I, ROY S, RUDOLF N, RUSH SR, RZAYEV K, RZEŹNIK 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 OR, 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 Y, TAYLOR N, THAM WW, THEISSEN E, THIMME J, TONKS IAN, TRAN HAI, TRAPIN L, TROLLE AB, VADUVA MA, VALENTE G, NESS RAV, VASQUEZ A, VEROUSIS T, VERWIJMEREN P, VILHELMSSON A, VILKOV G, VLADIMIROV V, VOGEL S, VOIGT S, WAGNER W, WALTHER T, WEISS P, WEL MVD, WERNER IM, WESTERHOLM PJ, WESTHEIDE C, WIKA HC, WIPPLINGER E, WOLF M, WOLFF CCP, WOLK L, WONG W, WRAMPELMEYER JAN, WU Z, XIA S, XIU D, XU KE, XU C, YADAV PK, YAGÜE J, YAN C, YANG A, YOO W, YU W, YU Y, YU S, YUESHEN BZ, YUFEROVA D, ZAMOJSKI M, ZAREEI A, ZEISBERGER SM, ZHANG LU, ZHANG SS, ZHANG X, ZHAO LU, ZHONG Z, ZHOU ZI, ZHOU C, ZHU XS, ZOICAN M, ZWINKELS R. Nonstandard Errors. The Journal of Finance. Wiley; 2024 Jun;79(3):2339–2390.
Journal cover image

Published In

The Journal of Finance

DOI

EISSN

1540-6261

ISSN

0022-1082

Publication Date

June 2024

Volume

79

Issue

3

Start / End Page

2339 / 2390

Publisher

Wiley

Related Subject Headings

  • Finance
  • 3801 Applied economics
  • 3502 Banking, finance and investment
  • 1502 Banking, Finance and Investment