Notes for Empirical Finance (Presentation Slides)
223 Pages Posted: 30 Jul 2020 Last revised: 29 Jul 2021
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: Suggested Citation