Week 5 — Reading the Frontier I: Decoding Empirical Papers
One paper per day. Each Reader’s Guide follows a fixed 7-part anatomy: research question · identification strategy · data · table-by-table reading order · what’s clever · what’s vulnerable · three replication exercises. See ../../TOC.md for the full plan.
Meta-guide
- Reading Guide Pack 5 — the reusable 7-part template, the tables-first reading heuristic, a table-conventions glossary, and a self-check rubric.
Reader’s Guides
- Ch 5.1 — Fama & French (1992), JF 47(2):427–465 (size/value; the death of beta)
- Ch 5.2 — Fama & French (1993), JFE 33(1):3–56 (the three-factor model; GRS)
- Ch 5.3 — Jegadeesh & Titman (1993), JF 48(1):65–91 (momentum; overlapping portfolios)
- Ch 5.4 — Petersen (2009), RFS 22(1):435–480 (a methods paper read as a paper)
- Ch 5.5 — Bertrand, Duflo & Mullainathan (2004), QJE 119(1):249–275 (the placebo-law method)
Notebooks (../../../notebooks/week-05/)
- nb5.1 FF92 portfolio sorts · nb5.2 FF93 factor regressions (Ken French free data + synthetic fallback) · nb5.3 Momentum backtest + transaction-cost critique · nb5.4 Petersen clustering replication (coverage taxonomy) · nb5.5 BDM placebo-law (naive rejection 0.35 vs. clustered 0.05)
- All verified to run headless; CRSP/Compustat-dependent notebooks ship real-data paths + deterministic synthetic fallbacks.
Problem sets (solutions in Appendix E)
Mentor, assessment
- Mentor Session 5 — “Anatomy of a JF paper” (Gao, Liu & Wang, Rainbow of Municipal Credit, AEA 2025)
- Week 5 Assessment + Rubric — students write their own 4-page Reader’s Guide on an unseen paper