Because of the sample sizes involved, it is important that we draw conclusions
from judgments about economic significance and that we rely less
on standard hurdles for statistical significance. Consistent monotonic patterns
and t-statistics that are significant by orders of magnitude more than
standard significance levels are much more impressive in this regard than
the occasional significant t-statistic that does not fit into a logical pattern.
This is especially true when focusing on the investor categories with large
numbers of trades, such as households and nonfinancial corporations. For
such investor categories, isolated t-statistics of less than three for coefficients
that are not part of a pattern are unimpressive, even though such tstatistics
represent statistical significance at the 1 percent level.