Individual skill

jf-empirical-design

Use when designing or stress-testing an asset-pricing test for a The Journal of Finance (JF) manuscript — factor models, Fama–MacBeth vs. panel, standard-error corrections, out-of-sample discipline. For corporate causal claims use jf-identification.

Journal-of-Finance-Skills/skills/jf-empirical-design/SKILL.md

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Repository stars (not skill ratings): 1,411
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License: MIT

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# Asset-Pricing Test Design (jf-empirical-design)

## When to trigger

- You have a candidate predictor / anomaly / factor and must decide how to test it
- You are unsure whether to run Fama–MacBeth, time-series factor regressions, or a panel
- You report t-stats but have not addressed the standard-error subtleties of cross-sectional asset pricing
- A referee will ask "is this data mining / does it survive multiple testing / does it work out of sample?"

> Scope: this skill is for **asset-pricing tests**. For corporate/empirical causal effects, route to `jf-identification`.

## Choosing the test

| Goal                                            | Workhorse design                                            |