Notes for Empirical Finance (Presentation Slides)

223 Pages Posted: 30 Jul 2020 Last revised: 29 Jul 2021

See all articles by Rui Dai

Rui Dai

Wharton Research Data Services (WRDS)

Date Written: July 22, 2020


Through my experience in research, teaching, and providing support to the research community, I've noticed a knowledge gap between the theoretical framework and empirical study in textbooks and seminal papers of financial economics. Seasoned researchers frequently assume that readers are fully aware of all implementation details, which are prerequisites for subsequent works. The lack of these necessary details, such as data issues and institutional context, can result in inefficient research designs and less reproducible outputs, particularly among early-career researchers. This slide deck aims to bridge a piece of that divide through case studies that emphasize non-trivial but often ignored knowledge of essential data, such as CRSP, Compustat, I/B/E/S, and Refinitiv Ownership. It also contains concise SAS implementations of seminal studies, including Fama and French 3 Factors, Event Studies, Post-earnings Announcement Drift, and DGTW adjusted returns. It discusses numerous data details, obscurities, and errors documented in the literature in the context of replicating previous works.

Keywords: Empirical Finance, Database, Case Studies

JEL Classification: G10, G30, A23

Suggested Citation

Dai, Rui, Notes for Empirical Finance (Presentation Slides) (July 22, 2020). Available at SSRN: or

Rui Dai (Contact Author)

Wharton Research Data Services (WRDS) ( email )

3819 Chestnut St
Suite 300
Philadelphia, PA PA 19104
United States

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