JFQA Data Analysis (jfqa-data-analysis)

Use this skill to execute and document the estimation for a JFQA empirical finance paper so it is both credible and reproducible from the code you will archive (see jfqa-replication-and-data-policy).

Data construction (finance-specific)

• Build from standard sources (CRSP, Compustat, CRSP/Compustat Merged, TAQ, IBES, TRACE, OptionMetrics) and document every filter (share codes, exchanges, financials/utilities exclusions, delisting returns).
• Winsorize or trim outliers and disclose the cutoffs; finance variables (ratios, returns) have heavy tails.
• Report the sample period, the number of firms and observations, and the unit of analysis.

Estimation & inference

• Use fixed effects appropriate to the question; justify the clustering dimension (firm, time, or two-way) — finance referees will ask.
• For asset-pricing tests, use Fama-MacBeth with Newey-West or the appropriate correction; for panels, cluster-robust SEs.
• Report economic magnitudes (e.g., effect of a one-SD change, basis points, alpha per month), not just significance stars.

Robustness & heterogeneity