spb/wp17_uqo

1% Generated by scripts/r3k_20_tables_v2.py from results/r3k_v2/hygiene_log.csv, hygiene_summary.json, results/r3k/*.json (HEAD 3cf7560), results/r3k_v2/results*.json -- do not edit by hand (FIRC-0002 v2.1, Stage E exhibits).2% Placement decided at Stage E: appendix. \input{tables/tab_hygiene} on its own prints the whole float; inside an existing float wrapper only the body is printed.3\ExhibitTable{tab:hygiene}{\textbf{Return hygiene and the effect of the data corrections on the headline statistics.} Panel A: every monthly return above 300\% (48) and every firm-year forward return above 500\% (104) was checked against FinData OS daily bars (split- and dividend-adjusted; 37 monthly and 101 firm-year observations confirmed and kept); the listed series breaks are Yahoo price splices and are set to missing together with every forward return whose window contains them (9 firm-years). Panel B: the committed v2.0 values (BEFORE; reproduced from the committed code by the baseline re-run) against the rebuilt panel (AFTER), raw and then winsorized / dependence-robust.}{\scriptsize}{%4\begin{threeparttable}\setlength{\tabcolsep}{4pt}5\begin{tabular}{llrrrl}6\toprule7\multicolumn{6}{@{}l}{\textit{Panel A: price splices removed after the second-source check}} \\8Ticker & Window & Yahoo return & FinData return & FinData first bar & Verdict \\9\midrule10ABAT & 2020-06-30..2021-06-30 & +2222\% & -- & 2023-09-21 & series break \\11CHRD & 2020-06-30..2021-06-30 & +13462\% & -- & 2020-11-23 & series break \\12SEZL & 2023-06-30..2024-06-30 & +572\% & -- & 2023-08-17 & series break \\13ABAT & 2020-12-31 & +449\% & -- & 2023-09-21 & series break \\14BETR & 2023-07-31 & +340\% & -- & 2023-08-24 & series break \\15CHRD & 2020-11-30 & +30991\% & -- & 2020-11-23 & series break \\16DEC & 2023-12-31 & +1626\% & -- & 2023-12-19 & series break \\17DFTX & 2019-08-31 & +370\% & -- & 2021-04-28 & series break \\18DFTX & 2020-03-31 & +1020\% & -- & 2021-04-28 & series break \\19DJT & 2021-10-31 & +581\% & -- & 2021-10-01 & series break \\20IVT & 2021-09-30 & +1457\% & -- & 2021-10-13 & series break \\21QUBT & 2012-01-31 & +317\% & -- & 2018-07-12 & series break \\22QUBT & 2013-02-28 & +567\% & -- & 2018-07-12 & series break \\23QUBT & 2018-01-31 & +650\% & -- & 2018-07-12 & series break \\24\midrule25\multicolumn{6}{@{}l}{\textit{Panel B: headline statistics before (committed v2.0, HEAD 3cf7560) and after the corrections}} \\26Statistic & \multicolumn{2}{l}{BEFORE (committed v2.0)} & \multicolumn{3}{l}{AFTER (rebuilt panel): raw $\rightarrow$ winsorized / robust} \\27\midrule28\multicolumn{1}{>{\raggedright\arraybackslash}p{0.25\textwidth}}{Panel: firm-years / firms / no capitalization} & \multicolumn{2}{>{\raggedright\arraybackslash}p{0.19\textwidth}}{27{,}468 / 2{,}379 / 2{,}168} & \multicolumn{3}{>{\raggedright\arraybackslash}p{0.39\textwidth}}{27{,}354 / 2{,}375 / 308} \\29\multicolumn{1}{>{\raggedright\arraybackslash}p{0.25\textwidth}}{log capitalization range (min, max)} & \multicolumn{2}{>{\raggedright\arraybackslash}p{0.19\textwidth}}{[$-\infty$, 37.4]} & \multicolumn{3}{>{\raggedright\arraybackslash}p{0.39\textwidth}}{[15.5, 29.0]} \\30\multicolumn{1}{>{\raggedright\arraybackslash}p{0.25\textwidth}}{AAPL capitalization, June 2011 (USD bn; rank)} & \multicolumn{2}{>{\raggedright\arraybackslash}p{0.19\textwidth}}{9.3 (rank 166)} & \multicolumn{3}{>{\raggedright\arraybackslash}p{0.39\textwidth}}{310 (rank 2)} \\31\multicolumn{1}{>{\raggedright\arraybackslash}p{0.25\textwidth}}{Max single-firm VW weight in a cohort $\times$ quintile, all nine VW sorts (raw and wins.\ variants); entries $>$ 25\%} & \multicolumn{2}{>{\raggedright\arraybackslash}p{0.19\textwidth}}{100.0\% (AJG); 548} & \multicolumn{3}{>{\raggedright\arraybackslash}p{0.39\textwidth}}{36\% (cybersecurity placebo sort, AAPL, 2023 cohort, quintile 2); 18} \\32\multicolumn{1}{>{\raggedright\arraybackslash}p{0.25\textwidth}}{Max single-firm VW weight in a cohort $\times$ quintile, composite sort; cells $>$ 25\%} & \multicolumn{2}{>{\raggedright\arraybackslash}p{0.19\textwidth}}{100.0\% (AJG); 31} & \multicolumn{3}{>{\raggedright\arraybackslash}p{0.39\textwidth}}{19\% (AAPL, 2011 cohort, quintile 4); 0} \\33\multicolumn{1}{>{\raggedright\arraybackslash}p{0.25\textwidth}}{EW composite Q5$-$Q1, full (pp) [NW $t$]} & \multicolumn{2}{>{\raggedright\arraybackslash}p{0.19\textwidth}}{+5.5 [2.41]} & \multicolumn{3}{>{\raggedright\arraybackslash}p{0.39\textwidth}}{+5.5 [2.40] $\rightarrow$ +3.9 [2.00; plain 1.78], CI [-0.8, +8.6]; median +0.5 [0.29]} \\34\multicolumn{1}{>{\raggedright\arraybackslash}p{0.25\textwidth}}{VW composite: Q1 / Q5 / Q5$-$Q1 [NW $t$]} & \multicolumn{2}{>{\raggedright\arraybackslash}p{0.19\textwidth}}{+0.4 / +14.3 / +13.9 [2.59]} & \multicolumn{3}{>{\raggedright\arraybackslash}p{0.39\textwidth}}{+12.1 / +19.4 / +7.4 [2.69] $\rightarrow$ wins.\ +7.3 [2.68]} \\35\multicolumn{1}{>{\raggedright\arraybackslash}p{0.25\textwidth}}{Fama--MacBeth composite slope (pp/SD) [NW $t$]} & \multicolumn{2}{>{\raggedright\arraybackslash}p{0.19\textwidth}}{+3.07 [2.80]} & \multicolumn{3}{>{\raggedright\arraybackslash}p{0.39\textwidth}}{+2.77 [2.44] $\rightarrow$ +1.88 [2.41; plain 2.51], CI [+0.27, +3.49]} \\36\multicolumn{1}{>{\raggedright\arraybackslash}p{0.25\textwidth}}{Pre / post composite spread (pp)} & \multicolumn{2}{>{\raggedright\arraybackslash}p{0.19\textwidth}}{+4.9 [2.00] / +7.9 [1.34, $n$ = 3]} & \multicolumn{3}{>{\raggedright\arraybackslash}p{0.39\textwidth}}{+4.8 / +8.5 $\rightarrow$ wins.\ +3.4 [-1.6, +8.4] / +6.0 [-25.5, +37.6]} \\37\multicolumn{1}{>{\raggedright\arraybackslash}p{0.25\textwidth}}{Pooled post Q5 vs Q1 (pp) [$t$ firm / two-way]} & \multicolumn{2}{>{\raggedright\arraybackslash}p{0.19\textwidth}}{+8.2 [1.80 / --]} & \multicolumn{3}{>{\raggedright\arraybackslash}p{0.39\textwidth}}{+8.7 [1.95 / 1.10] $\rightarrow$ wins.\ +6.2 [2.14 / 0.84], wild $p$ 0.631} \\38\multicolumn{1}{>{\raggedright\arraybackslash}p{0.25\textwidth}}{Largest 1,000: pre / post spread (pp)} & \multicolumn{2}{>{\raggedright\arraybackslash}p{0.19\textwidth}}{+2.9 / +12.8} & \multicolumn{3}{>{\raggedright\arraybackslash}p{0.39\textwidth}}{+3.1 / +13.8 $\rightarrow$ wins.\ +3.1 / +12.7; ex-2024 pooled +3.3 [1.18]} \\39\multicolumn{1}{>{\raggedright\arraybackslash}p{0.25\textwidth}}{Remaining firms: pre / post spread (pp)} & \multicolumn{2}{>{\raggedright\arraybackslash}p{0.19\textwidth}}{+9.6 / +8.4} & \multicolumn{3}{>{\raggedright\arraybackslash}p{0.39\textwidth}}{+7.8 / +7.0 $\rightarrow$ wins.\ +4.0 / +3.5} \\40\multicolumn{1}{>{\raggedright\arraybackslash}p{0.25\textwidth}}{Large-vs-small post-launch contrast (pp) [$t$ firm / two-way; wild $p$]} & \multicolumn{2}{>{\raggedright\arraybackslash}p{0.19\textwidth}}{not tested} & \multicolumn{3}{>{\raggedright\arraybackslash}p{0.39\textwidth}}{+10.8 [1.83 / 1.55; 0.22], MDE 16.5} \\41\multicolumn{1}{>{\raggedright\arraybackslash}p{0.25\textwidth}}{Within-sector FM slope, full (pp/SD) [NW $t$]} & \multicolumn{2}{>{\raggedright\arraybackslash}p{0.19\textwidth}}{+1.46 [4.38]} & \multicolumn{3}{>{\raggedright\arraybackslash}p{0.39\textwidth}}{+1.54 [3.48; plain 2.99] $\rightarrow$ wins.\ +0.88 [2.80; plain 2.74]; sector-neutral sort +1.4 [1.61]} \\42\multicolumn{1}{>{\raggedright\arraybackslash}p{0.25\textwidth}}{Event study, 1-year H$-$L: full / largest 1,000 / remaining (pp) [$t$]} & \multicolumn{2}{>{\raggedright\arraybackslash}p{0.19\textwidth}}{+14.0 [Welch 3.94; CDA 2.21] / +19.5 [Welch 5.09] / +9.9 [Welch 1.55]} & \multicolumn{3}{>{\raggedright\arraybackslash}p{0.39\textwidth}}{+14.2 [CDA 2.23] / +20.0 [CDA 3.02; beta-only 1.12; FF6 0.52] / +12.2 [CDA 1.51]} \\43\multicolumn{1}{>{\raggedright\arraybackslash}p{0.25\textwidth}}{SPID $\times$ post (pp) [$t$]} & \multicolumn{2}{>{\raggedright\arraybackslash}p{0.19\textwidth}}{-1.66 [-0.00] (degenerate fit; post coefficient $-6.7 \times 10^{12}$)} & \multicolumn{3}{>{\raggedright\arraybackslash}p{0.39\textwidth}}{-1.57 [-1.72 / -0.88] (committed panel refit) $\rightarrow$ -1.93 [-1.93 / -0.96]} \\44\bottomrule45\end{tabular}46\begin{tablenotes}[flushleft]\scriptsize47\item \emph{Notes:} Verification rule: series\_break if FinData history starts inside the window or has no bar at a window end; discrepancy if |yahoo-findata| > max(0.5, 0.25|findata|); else confirmed. Second source: FinData OS daily bars (FirstRate), read-only query of 2026-11-05. BEFORE values are the committed v2.0 statistics (raw returns, split-adjusted close $\times$ as-reported shares, Welch event-study $t$'s, Newey--West on three post cohorts, interaction without main effect) and appear nowhere else in the paper; the 2022/2024 event-time BEFORE values are absolute slopes from a model without a main effect and are not comparable to the AFTER differences.48\end{tablenotes}49\end{threeparttable}}50