Notes for Empirical Finance (Presentation Slides)

Abstract

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