Members of the Chair of Finance and Financial Services participated in the first crowd-sourced empirical research paper in finance (#fincap)

What happens, if 164 research teams from 30+ countries independently test the same hypotheses on the same data set? Do they find the same or at least similar results?

The #fincap project aimed to get to the bottom of this question. Coordinated by researchers from Vrije Universiteit Amsterdam, Stockholm School of Economics, and Leopold-Franzens-Universität Innsbruck, 164 research teams (1-2 members each) from 34 countries were provided with a unique data set that was sponsored by Deutsche Börse and consists of 720 million trade records in the EuroStoxx 50 index futures. Over a six-month period, including several rounds of peer-review, the research teams tested six hypotheses on market efficiency and liquidity and submitted a short paper with their results to the #fincap organizers.

Next to standard errors stemming from estimates in order to test the hypotheses, the outcome shows that it exists a sizeable variation in results across research teams. These “non-standard” errors are only weakly explained by the quality of research teams, the reproducibility of their testing procedure, and the peer-rating of their short paper. Thus, the project outcome indicates that non-standard errors add uncertainty to the evidence-generating process in empirical finance. Results also show that peer-review can decrease the size of non-standard errors.

With Dr. Thomas Walther (Research Fellow), Tom Dudda (PhD Student), and Dr. Tony Klein (alumnus, now Queen’s University Belfast) also members of our chair took part in this unique and truly exciting research project.

You can find the working paper on SSRN and more information on the #fincap project website or in this short video trailer.