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2. Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets

Author

Hautsch, Nikolaus, Scheuch, Christoph, and Voigt, Stefan

Subjects
Quantitative Finance - Trading and Market Microstructure, Quantitative Finance - General Finance
Abstract

A blockchain replaces central counterparties with time-consuming consensus protocols to record the transfer of ownership. This settlement latency slows cross-exchange trading, exposing arbitrageurs to price risk. Off-chain settlement, instead, exposes arbitrageurs to costly default risk. We show with Bitcoin network and order book data that cross-exchange price differences coincide with periods of high settlement latency, asset flows chase arbitrage opportunities, and price differences across exchanges with low default risk are smaller. Blockchain-based trading thus faces a dilemma: Reliable consensus protocols require time-consuming settlement latency, leading to arbitrage limits. Circumventing such arbitrage costs is possible only by reinstalling trusted intermediation, which mitigates default risk., Comment: This paper replaces an earlier draft titled "Limits to Arbitrage in Markets with Stochastic Settlement Latency". 49 pages, 2 figures, 7 tables

Published
2018

4. Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty

Author

Hautsch, Nikolaus and Voigt, Stefan

Subjects
Quantitative Finance - Portfolio Management
Abstract

We theoretically and empirically study portfolio optimization under transaction costs and establish a link between turnover penalization and covariance shrinkage with the penalization governed by transaction costs. We show how the ex ante incorporation of transaction costs shifts optimal portfolios towards regularized versions of efficient allocations. The regulatory effect of transaction costs is studied in an econometric setting incorporating parameter uncertainty and optimally combining predictive distributions resulting from high-frequency and low-frequency data. In an extensive empirical study, we illustrate that turnover penalization is more effective than commonly employed shrinkage methods and is crucial in order to construct empirically well-performing portfolios.

Published
2017
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6. Non-Standard Errors

Author

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

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.

Published
2024

7. Nonstandard Errors

Author

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

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.

Published
2024

8. Non-Standard Errors

Author

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

Published
2024

11. Power over Prosecutors Corrupts Politicians: Cross Country Evidence Using a New Indicator

Author

Voigt, Stefan

Abstract

It is hypothesized that prosecution agencies that are dependent on the executive have less incentives to prosecute crimes committed by government members which, in turn, increases their incentives to commit such crimes. Here, this hypothesis is put to an empirical test focusing on a particular kind of crime, namely corruption. In order to test it, it was necessary to create an indicator measuring de jure as well as de facto independence of the prosecution agencies. The regressions show that de facto independence of prosecution agencies robustly reduces corruption of officials.

Published
2008

12. Building Trust takes Time

Author

Voigt, Stefan, Hautsch, Nikolaus, Scheuch, Christoph, Voigt, Stefan, Hautsch, Nikolaus, and Scheuch, Christoph

Published
2023

13. Revisiting optimal execution of portfolio transactions : a dynamic programming and reinforcement learning approach

Author

Voigt, Stefan, Pedersen, Jens, Voigt, Stefan, and Pedersen, Jens

Abstract

The measurement and management of trading costs have gained renewed interest due to the tremendous growth in the equity market and the high degree of variance fueled by institutional investors. This thesis examines the optimal execution of portfolio transactions, focusing on the trading model proposed by Almgren and Chriss (2000). Four distinct approaches to solving the trading model are compared: analytical, numerical optimisation, dynamic programming and reinforcement learning. The analytical solution replicates the efficient frontier, optimal trajectories and implementation shortfall. Numerical optimisation results are consistent with Almgren and Chriss (2000). Risk-loving agents incur higher costs for greater variance, leading to exclusion from further analysis. The results of the dynamic programming approach align with the model intuition but the methodology is infeasible for large portfolios. The reinforcement learning approach captures model dynamics and demonstrates advantages at different risk-aversion levels. Empirical and distributional examples show reinforcement learning results differ across volatility and risk-aversion level. Contributions include the analytical solution for risk-neutral traders and novel approaches distinct from existing literature.

Published
2023

14. Corporate Sustainability and Market Reactions: Examining Market Responses to Sustainable Development Goals in European Financial Markets

Author

Voigt, Stefan, Andersen, Martin Skafte, Voigt, Stefan, and Andersen, Martin Skafte

Abstract

This paper investigates the degree and determinants of the European stock market’s reaction to ordinary news related to the United Nations’ 17 Sustainable Development Goals. The framework utilizes an event study method along with the Market Model and the Fama-French Five Factor Model to estimate expected returns. I develop an innovative approach to identify events as spikes in the volume of news articles using a time series sample provided by Matter. The empirical analysis is based on more than 12,000 events over a period of 5 years, from 2018-2023, and covering 600 listed firms in Europe. Thus, the study does not only focus on extreme events but also on ordinary events related to the SDGs. By employing the event study methodology and the Market Model, the study finds evidence that, while investors seem to penalize negative corporate behavior, they do not reward positive behavior. On average, negative events lead to a short-term drop in the market value of -0.72% over an event window of 21 days. Negative reactions are particularly pronounced for themes within the Planet, Peace, and Prosperity groups. Moreover, by employing the Calendar-Time Portfolio along with the Fama-French model, the study finds that on longer horizons of one and four months, the average penalties are -0.84% and -0.36%, respectively. Furthermore, the thesis explores the influence of a company’s ESG risk on reactions to negative events. European low-risk companies experience an average short-term penalty of -1.65%. In contrast, from a sample of global firms, I show that low-risk companies do not encounter significant market penalties on a short horizon. This discrepancy suggests that European and global companies exhibit varying levels of ESG awareness. All the mentioned abnormal returns are significant on at least a 5% level. Finally, I discuss the practical implications in relation to profit maximization

Published
2023

15. News Text in Asset Pricing: A Deep Learning Approach

Author

Voigt, Stefan, Nyström, Oliver Albin Wiegaard, Voigt, Stefan, and Nyström, Oliver Albin Wiegaard

Abstract

This paper seeks to estimate fundamental risks of stocks using news text. As a concept, news are connected to the idea of systematic risk and the state variables described in the ICAPM. News are capturing investor concerns regarding the future investment opportunities, why the information contained in them can be used as predictive signals for the direction of movements in the pricing kernel. In this paper, I use the news-based narrative attention data developed by [Kelly et al., 2022] as an approximation of the ICAPM state variables to estimate stock returns using a neural network with L1 regularization. The evidence suggests that news contain highly relevant information for asset pricing exercises as I find that the neural network is effective in estimating returns as well as delivering strong asset pricing performance.

Published
2023

16. Tidy Finance with R

Author

Voigt, Stefan, Scheuch, Christoph, Weiss, Patrick, Voigt, Stefan, Scheuch, Christoph, and Weiss, Patrick

Abstract

This textbook shows how to bring theoretical concepts from finance and econometrics to the data. Focusing on coding and data analysis with R, we show how to conduct research in empirical finance from scratch. We start by introducing the concepts of tidy data and coding principles using the tidyverse family of R packages. Code is provided to prepare common open-source and proprietary financial data sources (CRSP, Compustat, Mergent FISD, TRACE) and organize them in a database. We reuse these data in all the subsequent chapters, which we keep as self-contained as possible. The empirical applications range from key concepts of empirical asset pricing (beta estimation, portfolio sorts, performance analysis, Fama-French factors) to modeling and machine learning applications (fixed effects estimation, clustering standard errors, difference-in-difference estimators, ridge regression, Lasso, Elastic net, random forests, neural networks) and portfolio optimization techniques.

Published
2023

17. Integrating Factor Models

Author

Voigt, Stefan, Avramov, Doron, Metzker, Lior, Cheng, Si, Voigt, Stefan, Avramov, Doron, Metzker, Lior, and Cheng, Si

Abstract

This paper develops a comprehensive framework to address uncertainty about the correct factor model. Asset pricing inferences draw on a composite model that integrates over competing factor models weighted by posterior probabilities. Evidence shows that unconditional models record near-zero probabilities, while post-earnings announcement drift, quality-minus-junk, and intermediary capital are potent factors in conditional asset pricing. The integrated model tilts away from the subsequently underperforming factors, and delivers robust strategies. Model uncertainty makes equities appear considerably riskier, while model disagreement about expected returns spikes during crash episodes. Disagreement spans all return components involving mispricing, factor loadings, and risk premia.

Published
2023

18. Non-Standard Errors

Author

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

Subjects
jel:G14, jel:G1, ddc:330, jel:C12
Abstract

In statistics, samples are drawn from a population in a data- generating process (DGP). Standard errors measure the uncer- tainty in sample estimates of population parameters. In sci- ence, evidence is generated to test hypotheses in an evidence- generating process (EGP). We claim that EGP variation across researchers adds uncertainty: non-standard errors. To study them, we let 164 teams test six hypotheses on the same sam- ple. We find that non-standard errors are sizeable, on par with standard errors. Their size (i) co-varies only weakly with team merits, reproducibility, or peer rating, (ii) declines significantly after peer-feedback, and (iii) is underestimated by participants.

Published
2023
Full Text
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19. Leader Characteristics and Constitutional Compliance

Author

Gutmann, Jerg, Metelska-Szaniawska, Katarzyna, and Voigt, Stefan

Subjects
de jure-de facto gap, K38, K42, K10, Z10, ddc:330, P16, leader characteristics, constitutional compliance, P26, P48
Abstract

While research in constitutional economics has made important progress in recent decades, the factors determining whether a constitution is complied with have only received scant attention. We contribute to that narrow literature by studying how personal traits of political leaders are associated with constitutional compliance. Compliance levels of 943 political leaders between 1950 and 2010 can be explained by their education, entry into office, political experience, military background, and whether they are members of extreme left-wing parties. Specifically, under former military officers and Communist leaders, constitutional compliance is significantly lower. The combined effect of these two traits corresponds to the difference between democracy and nondemocracy. This implies a difficult normative question, which we discuss in our conclusion: Should constitutions set entry barriers for high political offices that are based on leader characteristics?

Published
2023

21. Proceedings of the 3rd International Open Search Symposium #ossym2021

Author

Wagner, Andreas, Granitzer, Michael, Guetl, Christian, Plote, Christine, and Voigt Stefan

Subjects
Open Search Symposium, OSSYM2021
Abstract

The Open Search Symposium - #ossym - with now its third edition, has become a vibrant meeting place for the ever-growing open search community - a community of scientists, developers, entrepreneurs, public organisations, concerned citizens and many more, to care for and thrive to develop the next generation of public, open and democratic internet search. In times when information, data, privacy, and separation of true and fake in the digital sphere becomes ever more important the open search community seeks to develop methods, tools, and technology to cooperatively crawl the web, generate substantial open web-indices and build a web search ecosystem that is governed by openness, ethics, respect of privacy as well as democratic and legal values. With these first ‘fully-fledged’ proceedings of #ossym 2021 we are happy to kick-start a routine series of #ossym-proceedings aggregating and disseminating the articles and findings submitted to and presented at the yearly Open Search Symposia also in the years to come. It is great to see the quality and quantity of the contributions and we hope that these proceedings will help to raise awareness and may help to inspire even more active participation in the Open Search Initiative from all relevant scientific, societal, public, and economic domains. We hereby kindly want to thank all the active authors, contributors and supporters of #ossym series for making the #ossym conference an interesting and dynamic place for discussing and developing the next generation of internet search - for the current and future users of an democratic, fair and open Internet – for us all. Together, for a better net. Andreas Wagner, Michael Granitzer, Christian Gütl, Christine Plote and Stefan Voigt&nbsp

Published
2022
Full Text
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24. Transitional Justice as a Post-Revolution Constitutional Arrangement: A Law and Economics Approach

Author

Voigt, Stefan, Muhammad Rashwan, Eman <1990>, Voigt, Stefan, and Muhammad Rashwan, Eman <1990>

Abstract

This dissertation addresses the timely questions of transitional justice (TJ) in the aftermath of revolutions against autocratic regimes, dealing with TJ as a constitutional arrangement through the lenses of constitutional economics. After an introductory chapter, chapter 2 deals with why nations rarely adopt meaningful TJ processes in the first place, it then explains the limitations of civil society as the arbiter, facilitator, and enforcer of TJ policies. Chapter 3 tackles the question of which mechanisms to choose? It uses the UN Guidelines on TJ that sets five principal TJ mechanisms. It provides a cost-benefit analysis (CBA) of each mechanism and suggests policy implications accordingly. The CBA inspires chapter 4 analysis, suggesting a tradeoff between restrictive fair trial standards under constitutional laws and justice considerations. The tradeoff explains the suggested efficiency of the balanced TJ approaches that combine trials and amnesties. This approach is used for the case study analysis of TJ in Tunisia after the 2011 revolution in chapter 5. The chapter presents the first index of TJ mechanisms in Tunisia through novel data collected by the author. It shows an ultimate TJ design that ended with a modest harvest in the application. The lack of cooperation between the Tunisian parties, added to the absence of transparency in many TJ measures, threatens any possible positive outcomes of the partial TJ process. It is also alarming regarding constitutional compliance in a system that – until recently - was considered the only democracy in the Arab region. Chapter 6 is a summary

Published
2022

25. Application of Reinforcement Learning in Portfolio Optimization

Author

Voigt, Stefan, Refer, Mads, Voigt, Stefan, and Refer, Mads

Abstract

This thesis explores two reinforcement learning agents, (i) the tabular Qlearning and (ii) the deep Q-network and their ability to optimize dynamic portfolios for utility maximization. We formulate a Markov decision process for the trading process including a discrete action space, a state space, and a training environment that mimics the S&P 500 index. The agents are tested on historical data and compared to the random, buy-and-hold, and Merton optimal strategies on the basis of different utility, wealth, and risk measures. To validate our approach the strategies are tested on indices in other sectors and markets. The experiments show that both reinforcement learning agents are able to outperform the buy-and-hold strategy and achieve similar results to the Merton optimal strategy when tested on indices similar to the training data. In the case of trading individual stocks, only the deep Q-network is able to outperform the baseline in terms of the utility of wealth and annual returns.

Published
2022

28. Dissecting the Factor Zoo

Author

Voigt, Stefan, Nelmark, Oliver Højer, Roslundh, Mikkel Worm, Voigt, Stefan, Nelmark, Oliver Højer, and Roslundh, Mikkel Worm

Published
2022

29. Petrographic and geochemical constraints on the formation of gravity‐defying speleothems.

Author

Immenhauser, Adrian, Hoffmann, Rene, Riechelmann, Sylvia, Mueller, Mathias, Scholz, Dennis, Voigt, Stefan, Niggemann, Stefan, Buhl, Dieter, Dornseif, Maximilian, and Platte, Alexander

Subjects
CAPILLARY flow, PETROLOGY, ISOTOPE geology, TRANSMISSION electron microscopy, MINERALOGY, SPELEOTHEMS, CAVES
Abstract

Cave carbonates, seemingly growing in defiance of gravity, have attracted the community's interest for more than a century. This paper focusses on 'helictites', contorted vermiform speleothems with central capillaries. Petrographic, crystallographic and geochemical data of calcitic and aragonitic helictites (recent to 347 ka) from three caves in Western Germany are placed in context with previous work. Aragonitic helictites from one site, the Windloch Cave, form exceptionally large and complex structures that share similarities with the celebrated helictite arrays in the Asperge Cave in France. Aragonitic and calcitic helictites differ significantly in their crystal fabrics and internal geometry. Calcitic helictites are best described as a composite crystal fabric consisting of fibrous mesocrystals. Aragonite helictites display a complex fabric of acicular to platy crystals, some of which show evidence for growth‐twinning and perhaps crystallisation via a monoclinal precursor stage. The micro‐tomographic characterisation of several orders of channels and their complex architecture raises important questions regarding fluid migration and helictite architecture. In terms of their isotope geochemistry, helictites are depleted in 13C to various degrees, isotope values that are controlled by the mixing of fluids and mineralogy‐related fractionation. Regarding their δ18O values, most helictites overlap with other calcitic and aragonitic speleothems. Previous models explaining the twisted morphology of helictites are discussed from the viewpoint of fluid migration and CO2 degassing rates, mineralogy and helictite petrography. For the complex aragonitic helicities documented here, the most likely mechanisms to explain the contorted growth forms include the internal capillary network combined with localised (sector) growth at the helictite tip. The morphologically simpler calcitic helictites are best explained by capillary and surface flow. Future work should include geomicrobiology to assess the significance of induced mineralisation and transmission electron microscopy analysis to more quantitatively assign crystallographic properties. [ABSTRACT FROM AUTHOR]

Published
2023
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30. The Vehicle Routing Problem with Availability Profiles.

Author

Voigt, Stefan, Frank, Markus, Fontaine, Pirmin, and Kuhn, Heinrich

Subjects
*VEHICLE routing problem, *DELIVERY of goods
Abstract

In business-to-consumer (B2C) parcel delivery, the presence of the customer at the time of delivery is implicitly required in many cases. If the customer is not at home, the delivery fails—causing additional costs and efforts for the parcel service provider as well as inconvenience for the customer. Parcel service providers typically report high failed-delivery rates, as they have limited possibilities to arrange a delivery time with the recipient. We address the failed-delivery problem in B2C parcel delivery by considering customer-individual availability profiles (APs) that consist of a set of time windows, each associated with a probability that the delivery is successful if conducted in the respective time window. To assess the benefit of APs for delivery tour planning, we formulate the vehicle routing problem with availability profiles (VRPAP) as a mixed integer program, including the trade-off between transportation and failed-delivery costs. We provide analytical insights concerning the model's cost-savings potential by determining lower and upper bounds. In order to solve larger instances, we develop a novel hybrid adaptive large neighborhood search (HALNS). The HALNS is highly adaptable and also able to solve related time-constrained vehicle routing problems (i.e., vehicle routing problems with hard, multiple, and soft time windows). We show its performance on these related benchmark instances and find a total of 20 new best-known solutions. We additionally conduct various experiments on self-generated VRPAP instances to generate managerial insights. In a case study using real-world data, despite little information on the APs, we were able to reduce failed deliveries by approximately 12% and overall costs by 5%. Supplemental Material: The online appendix is available at https://doi.org/10.1287/trsc.2022.1182. [ABSTRACT FROM AUTHOR]

Published
2023
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34. Measuring Constitutional Loyalty: Evidence from the Covid-19 Pandemic

Author

Gutmann, Jerg, Sarel, Roee, and Voigt, Stefan

Subjects
Constitutional loyalty, Constitutions, I18, H12, ddc:330, Judicial power, D02, K40, Covid-19, Courts, P48
Abstract

Constitutional loyalty, the importance ascribed to complying with constitutional rules, is difficult to measure across countries due to differences in context, history, and culture. We overcome this challenge by exploiting the COVID-19 pandemic as an ideal setting in which societies around the world face a novel and similar public health crisis, inducing governments to adopt comparable policies. Based on a survey carried out in 53 countries around the world in 2021, we show that citizens' support for Covid-19 mitigation policies declines if courts signal doubts about their constitutionality. We further demonstrate that this effect of constitutional loyalty depends on citizens' characteristics, such as their confidence in the courts and their moral convictions.

Published
2022

35. The Comparative Constitutional Compliance Database

Author

Gutmann, Jerg, Metelska-Szaniawska, Katarzyna, and Voigt, Stefan

Subjects
executive constraints, de jure-de facto gap, K38, K42, K10, constitutional compliance, O57, P48, governance indicators, measurement of institutions, ddc:330, constitutional economics, H11, constitutional political economy
Abstract

This article introduces a novel database that measures governments' compliance with national constitutions. It combines information on de jure constitutional rules with data on their de facto implementation. The individual compliance indicators can be grouped into four categories that we aggregate into an overall indicator of constitutional compliance: property rights and the rule of law, political rights, civil rights, and basic human rights. The database covers 175 countries over the period 1900 to 2020 and can be used by researchers interested in studying the determinants or the effects of (non)compliance with constitutions. Our investigation of the stylized facts of constitutional compliance reveals a long-term increase in compliance, which occurred primarily around the year 1990. The Americas experienced the steepest increase in compliance, but also Africa and Europe improved particularly at the end of the Cold War. Democracies ― particularly those with parliamentary and mixed systems ― show more constitutional compliance than nondemocracies, among which military dictatorships perform the worst. Constitutional design also matters: Constitutions that allow for the dismissal of the head of state or government for violating constitutional rules are being complied with more.

Published
2022

36. Determinant of Social Norms

Author

Voigt, Stefan

Subjects
O10, family, internal institutions, Z10, religion, D90, K00, ddc:330, Institutional Economics, social norms, A13, geography, informal institutions
Abstract

It is now abundantly clear that social norms channel behavior and impact economic development. This insight leads to the question: How do social norms evolve? This survey examines research that relies on geography to explain the development of social norms, and suggests that religion and family organization are potential mediators. It turns out that many social norms are either directly or indirectly determined by geography and can, hence, be considered largely time invariant. Given that successful economic development presupposes the congruence between formal institutions and social norms, this insight is highly relevant for all policy interventions designed to facilitate economic development.

Published
2022

37. Quantitative analysis of constitutions

Author

Gutmann, Jerg and Voigt, Stefan

Subjects
ddc:330
Abstract

Since the time of the Protestant reformation, Western societies typically consider themselves not to be governed by divine law but based on a social contract. While all rules governing a society are part of this social contract, a country's written constitution is a central and possibly the most important manifestation of the social contract. Once it is accepted that the contents of a constitution are subject to human design, scholars interested in the organization of human societies will ask themselves how constitutions should look like. Or less normatively speaking, the question arises what consequences can be expected from the design of different elements of a constitution. For a long time, (comparative) constitutional legal scholars have tried to evaluate the consequences of constitutional design by drawing on and comparing select country cases. Such a qualitative empirical research approach, however, has its limitations. While it might be suitable to generate theories of how constitutions work, it is difficult to assess whether these explanations are valid when applied to a larger set of constitutions (i.e., whether findings from a single or few countries can be generalized) and whether one theory potentially outperforms other theories in explaining differences across countries and time. Thanks to the ever-increasing availability of sophisticated statistics software, powerful personal computers, and well-trained researchers, quantitative analyses of constitutions have surged in recent decades. (...)

Published
2022

47. To cooperate or not to cooperate? An analysis of in-group favoritism among Syrian refugees

Author

El-Bialy, Nora, Fraile Aranda, Elisa, Nicklisch, Andreas, Saleh, Lamis, and Voigt, Stefan

Subjects
C71, ddc:330, C92, D91, cooperation, in-group favoritism, experiments, refugees
Abstract

Does the experience of civil war promote in-group bias among survivors? We try to answer this question by analyzing cooperation in a prisoner's dilemma game among Syrian refugees in two host countries, Germany and Jordan. We use a between-subjects analysis to test our in-group cooperation hypothesis. We find that Syrians are more likely to cooperate when they are interacting with another Syrian participant than when they are interacting with a German or a Jordanian participant. While Syrian refugees self-report a feeling of relative welcome in the host country, punishment of cooperation norm violations by ingroup or out-group members does not differ significantly. We conclude that our results are more likely to be driven by in-group favoritism rather than out-group hostility.

Published
2021

48. Unconstitutional States of Emergency

Author

Bjørnskov, Christian, Voigt, Stefan, and Khesali, Mahdi

Subjects
de jure/de facto gap, Constitutional political economy, emergencies, ddc:330, constitutional emergency provisions, public choice
Abstract

Nine out of ten modern constitutions contain explicit emergency provisions, describing who can call a state of emergency (and under which conditions) and the additional powers government enjoys under a state of emergency. As states of emergency typically allocate additional powers to the executive, they lend themselves easily to abuse and provide political incentives to declare emergencies. In this paper, we analyze under what conditions government behavior under a state of emergency deviates from constitutional provisions and a de jure/de facto gap thus emerges. Such a gap can be caused by the unlawful declaration of an emergency, the noncompliance with constitutional provisions in the course of an emergency, or the perpetuation of a state of emergency beyond the constitutionally defined length. Based on a novel dataset comprising 853 emergency declarations, 115 are identified as unlawful. We find that events caused by political turmoil are more likely to be followed by an unlawful emergency than natural disasters. Autocratic governments are more likely to renege against the constitution than democratic governments. Focusing on the 97 emergencies declared as reactions to domestic events, we also find that bicameral systems are more likely to suffer from unlawful states of emergencies than unicameral ones, as are countries hit by recessions, and countries where the constitution justifies emergencies under more numerous conditions.

Published
2021

49. Norm Compliance and Lying Patterns: an Experimental Study Among Refugees and Non-refugees in Syria, Jordan, and Germany

Author

El-Bialy, Nora, Fraile Aranda, Elisa, Nicklisch, Andreas, Saleh, Lamis, and Voigt, Stefan

Subjects
C93, honesty, psychological distress, Civil war, lying, ddc:330, D01, experimental economics, O15
Abstract

We report the results of an experiment on norm violation, specifically lying, in a repeatedly played mind game with Syrian refugees in Jordan and in Germany. We compare their behavior with Jordanians, Germans, and Syrians who still live in Syria. The average number of lies is amazingly similar - and low - across all five samples. However, the lying patterns of Syrian refugees are very different from non-refugee participants in Germany, Jordan, and Syria itself. After having lied once, refugee participants resort to a "never return"- pattern significantly more often than the nonrefugee participants. A closer look at the socio-demographic characteristics of our Syrian refugee participants reveals that lying is associated with higher age and gender, while a longer stay in the host country is positively correlated with a lower likelihood of reporting extreme numbers of matches.

Published
2021

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