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- Latency (1)
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We consider a multi-period rational expectations model in which risk-averse investors differ in their information on past transaction prices (the ticker). Some investors (insiders) observe prices in real-time whereas other investors (outsiders) observe prices with a delay. As prices are informative about the asset payoff, insiders get a strictly larger expected utility than outsiders. Yet, information acquisition by one investor exerts a negative externality on other investors. Thus, investors’ average welfare is maximal when access to price information is rationed. We show that a market for price information can implement the fraction of insiders that maximizes investors’ average welfare. This market features a high price to curb excessive acquisition of ticker information. We also show that informational efficiency is greater when the dissemination of ticker information is broader and more timely.
Non-standard errors
(2021)
Menkveld, Albert J. ; Dreber, Anna ; Holzmeister, Felix ; Huber, Jürgen ; Johannesson, Magnus ; Kirchler, Michael ; Razen, Michael ; Weitzel, Utz ; Abad Díaz, David ; Abudy, Menachem ; Adrian, Tobias ; Ait-Sahalia, Yacine ; Akmansoy, Olivier ; Alcock, Jamie ; Alexeev, Vitali ; Aloosh, Arash ; Amato, Livia ; Amaya, Diego ; Angel, James ; Bach, Amadeus ; Baidoo, Edwin ; Bakalli, Gaetan ; Barbon, Andrea ; Bashchenko, Oksana ; Bindra, Parampreet Christopher ; Bjonnes, Geir Hoidal ; Black, Jeff ; Black, Bernard S. ; Bohorquez, Santiago ; Bondarenko, Oleg ; Bos, Charles S. ; Bosch-Rosa, Ciril ; Bouri, Elie ; Brownlees, Christian ; Calamia, Anna ; Cao, Viet Nga ; Capelle-Blancard, Gunther ; Capera, Laura ; Caporin, Massimiliano ; Carrion, Allen ; Caskurlu, Tolga ; Chakrabarty, Bidisha ; Chernov, Mikhail ; Cheung, William M. ; Chincarini, Ludwig Boris ; 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 ; Declerck, Fany ; Deev, Oleg ; Degryse, Hans ; Deku, Solomon ; Desagre, Christophe ; Dijk, Mathijs van ; Dim, Chukwuma ; Dimpfl, Thomas ; Dong, Yun Jiang ; Drummond, Philip ; Dudda, Tom ; Dumitrescu, Ariadna ; Dyakov, Teodor ; Haubo Dyhrberg, Anne ; Dzieliński, Michał ; Eksi, Asli ; El Kalak, Izidin ; Ellen, Saskia ter ; Eugster, Nicolas ; Evans, Martin D. D. ; Farrell, Michael ; Félez-Viñas, Ester ; Ferrara, Gerardo ; Ferrouhi, El Mehdi ; Flori, Andrea ; Fluharty-Jaidee, Jonathan ; Foley, Sean ; Fong, Kingsley Y. L. ; Foucault, Thierry ; Franus, Tatiana ; Franzoni, Francesco ; Frijns, Bart ; Frömmel, Michael ; Fu, Servanna ; Füllbrunn, Sascha ; Gan, Baoqing ; Gehrig, Thomas ; Gerritsen, Dirk ; Gil-Bazo, Javier ; Glosten, Lawrence R. ; Gomez, Thomas ; Gorbenko, Arseny ; Güçbilmez, Ufuk ; Grammig, Joachim ; Gregoire, Vincent ; Hagströmer, Björn ; Hambuckers, Julien ; Hapnes, Erik ; Harris, Jeffrey H. ; Harris, Lawrence ; Hartmann, Simon ; Hasse, Jean-Baptiste ; Hautsch, Nikolaus ; He, Xuezhong ; 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 ; Ivashchenko, Alexey ; Iyer, Subramanian Rama ; Jahanshahloo, Hossein ; Jalkh, Naji ; Jones, Charles M. ; Jurkatis, Simon ; Jylha, Petri ; Kaeck, Andreas ; Kaiser, Gabriel ; Karam, Arzé ; Karmaziene, Egle ; Kassner, Bernhard ; Kaustia, Markku ; Kazak, Ekaterina ; Kearney, Fearghal ; Kervel, Vincent van ; Khan, Saad ; Khomyn, Marta ; Klein, Tony ; Klein, Olga ; Klos, Alexander ; Koetter, Michael ; Krahnen, Jan Pieter ; Kolokolov, Aleksey ; Korajczyk, Robert A. ; Kozhan, Roman ; Kwan, Amy ; Lajaunie, Quentin ; Lam, FY 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 B. ; Liu, Jiacheng ; Liu, Anqi ; Llorente, Guillermo ; Lof, Matthijs ; Lohr, Ariel ; Longstaff, Francis A. ; Lopez-Lira, Alejandro ; Mankad, Shawn ; Mano, Nicola ; Marchal, Alexis ; Martineau, Charles ; Mazzola, Francesco ; Meloso, Debrah ; 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 Arne ; Östberg, Per ; Painter, Marcus ; Palan, Stefan ; Palit, Imon ; Park, Andreas ; Pascual, Roberto ; Pasquariello, Paolo ; Pastor, Lubos ; Patel, Vinay ; Patton, Andrew J. ; Pearson, Neil D. ; Pelizzon, Loriana ; Rzeźnik, Aleksandra ; Sanford, Anthony ; Sankaran, Harikumar ; Sarkar, Asani ; Sarno, Lucio ; Scaillet, O. ; Scharnowski, Stefan ; Schenk-Hoppé, Klaus Reiner ; Schertler, Andrea ; Schneider, Michael ; Schroeder, Florian ; Schürhoff, Norman ; Schuster, Philipp ; Schwarz, Marco A. ; Seasholes, Mark S. ; Seeger, Norman ; Shachar, Or ; Shkilko, Andriy ; Shui, Jessica ; Sikic, Mario ; Simion, Giorgia ; Smales, Lee A. ; Söderlind, Paul ; Sojli, Elvira ; Sokolov, Konstantin ; Spokeviciute, Laima ; Stefanova, Denitsa ; Subrahmanyam, Marti G. ; Neusüss, Sebastian ; Szaszi, Barnabas ; Talavera, Oleksandr ; Tang, Yuehua ; Taylor, Nicholas ; Tham, Wing Wah ; Theissen, Erik ; Thimme, Julian ; Tonks, Ian ; Tran, Hai ; Trapin, Luca ; Trolle, Anders B. ; 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 ; Wel, Michel van der ; Werner, Ingrid M. ; Westerholm, Joakim ; Westheide, Christian ; Wipplinger, Evert ; Wolf, Michael ; Wolff, Christiaan Cornelis Petrus ; Wolk, Leonard ; Wong, Wing Keung ; Wrampelmeyer, Jan ; Xia, Shuo ; Xiu, Dacheng ; Xu, Ke ; Xu, Caihong ; Yadav, Pradeep ; Yagüe, José ; Yan, Cheng ; Yang, Antti ; Yoo, Woongsun ; Yu, Wenjia ; Yu, Shihao ; Yueshen, Bart Zhou ; Yuferova, Darya ; Zamojski, Marcin ; Zareei, Abalfazl ; Zeisberger, Stefan ; Zhang, Sarah ; Zhang, Xiaoyu ; Zhong, Zhuo ; Zhou, Z. Ivy ; Zhou, Chen ; Zhu, Xingyu Sonya ; Zoican, Marius ; Zwinkels, Remco C. J. ; Chen, Jian ; Duevski, Teodor ; Gao, Ge ; Gemayel, Roland ; Gilder, Dudley ; Kuhle, Paul ; Pagnotta, Emiliano ; Pelli, Michele ; Sönksen, Jantje ; Zhang, Lu ; Ilczuk, Konrad ; Bogoev, Dimitar ; Qian, Ya ; Wika, Hans C. ; Yu, Yihe ; Zhao, Lu ; Mi, Michael ; Bao, Li ; Vaduva, Andreea ; Prokopczuk, Marcel ; Avetikian, Alejandro ; Wu, Zhen-Xing
In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in sample 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: non-standard errors. To study them, we let 164 teams test six hypotheses on the same sample. 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.
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