Reusing Natural Experiments
ABSTRACT After a natural experiment is first used, other researchers often reuse the setting, examining different outcome variables. We use simulations based on real data to illustrate the multiple hypothesis testing problem that arises when researchers reuse natural experiments. We then provide gui...
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| Vydané v: | The Journal of finance (New York) Ročník 78; číslo 4; s. 2329 - 2364 |
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| Hlavní autori: | , , , |
| Médium: | Journal Article |
| Jazyk: | English |
| Vydavateľské údaje: |
Cambridge
Blackwell Publishers Inc
01.08.2023
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| Predmet: | |
| ISSN: | 0022-1082, 1540-6261 |
| On-line prístup: | Získať plný text |
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| Shrnutí: | ABSTRACT
After a natural experiment is first used, other researchers often reuse the setting, examining different outcome variables. We use simulations based on real data to illustrate the multiple hypothesis testing problem that arises when researchers reuse natural experiments. We then provide guidance for future inference based on popular empirical settings including difference‐in‐differences, instrumental variables, and regression discontinuity designs. When we apply our guidance to two extensively studied natural experiments, business combination laws and the Regulation SHO pilot, we find that many results that were statistically significant using single hypothesis testing do not survive corrections for multiple hypothesis testing. |
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| Bibliografia: | th Davidson Heath and Matthew C. Ringgenberg are at the David Eccles School of Business, University of Utah, Mehrdad Samadi is at the Federal Reserve Board of Governors, and Ingrid M. Werner is at The Ohio State University and CEPR. The authors thank the Editor (Stefan Nagel); several anonymous reviewers; Thorsten Beck; Andrew Chen; Yong Chen; David De Angelis; Joey Engelberg; Benjamin Gillen; Todd Gormley; Campbell Harvey; Jonathan Karpoff; Yan Liu; Ye Li; Florian Peters; Peter Reiss; Alessio Saretto; Rik Sen; Sophie Shive; Elvira Sojli; Holger Spamann; Noah Stoffman; Allan Timmermann; Michael Wittry; Michael Wolf; Yuchen Zhang; participants at the 15 Annual Central Bank Conference on the Microstructure of Financial Markets, the 2019 FRA‐Vegas Conference, the Chapman University Behavioral and Experimental Finance Conference, the 2020 Annual Meeting of the Western Finance Association; and seminar participants at Rutgers University, SMU Cox, The Ohio State University, Texas A&M University, Tulane University, Securities and Exchange Commission, University of Utah, Virtual Finance Seminar (hosted by Michigan State and the University of Illinois at Chicago), Virtual Finance Seminar Series (hosted by the University of Bristol, University of Exeter, University of Lancaster, and University of Manchester), University of Virginia, Federal Reserve Board, University of California at Riverside, University of Maryland, and Norges Handelshøyskole ‐ NHH. The views expressed in this paper are those of the authors and do not represent the views of the Federal Reserve Board, Federal Reserve System, or their staff. No author has received financial support for this research. Heath, Ringgenberg, and Samadi have nothing further to disclose. Werner is an independent director for Dimensional U.S. Mutual Funds and ETF Trust, is a director for the Fourth Swedish Pension Fund (AP4), and serves on the Prize Committee for Riksbanken's Prize in Economic Sciences in Memory of Alfred Nobel. ObjectType-Article-1 SourceType-Scholarly Journals-1 ObjectType-Feature-2 content type line 14 |
| ISSN: | 0022-1082 1540-6261 |
| DOI: | 10.1111/jofi.13250 |