Online advertising offers unprecedented opportunities for measurement. A host of new metrics, clicks being the leading example, have become widespread in advertising science. New data and experimentation platforms open the door for firms and researchers to measure true causal effects of...

Twenty-five large field experiments with major U.S. retailers and brokerages, each reaching millions of customers and collectively representing $2.8 million in advertising expenditure, reveal that measuring the returns to advertising is exceedingly difficult. The median confidence interval on...