Strategy Memo — Critique

Reviewer: strategist-critic Target: quality_reports/strategy-memo.md Paper type: Descriptive predictive (asset-pricing replication) Phase: Strategy (constructive severity) Date: 2026-05-11

Score

91/100 — PASS (round 1).

Verdict

PASS. Memo clears the 80 threshold by a wide margin. All 11 required sections present, descriptive framing impeccable (no causal language anywhere), 9-check robustness suite addresses real literature concerns, inference machinery (NW 12 lags, Petersen month clustering, Shanken secondary) correctly assembled.

Issues (all Minor; -1 to -2 each)

ID Issue Deduction
M1 Citation form drift: plain-text “Doidge-Karolyi-Stulz” inline vs doidge2017 bibkey elsewhere -2
M2 Sample boundary for first monthly observation (Dec-1989 vs Jan-1990) not stated -1
M3 CRSP return field (ret vs retx) not stated -1
M4 “FF12 lag” without fama1992cross bibkey -1
M5 R1 (FF3-residual IVOL) doesn’t say daily FF3 from Ken French -1
M6 “Month” not explicitly defined as calendar month -1
M7 Skip-a-month robustness omission -2

Strengths

  • Descriptive framing impeccable (INV-8 fully satisfied); no causal verbs.
  • Falsification criteria explicit and quantitative for H1, H2, H3.
  • Pre-registration discipline: 7 concrete commitments with numeric specificity.
  • Anti-data-snooping: confirmatory (H1-H3) separated from supportive (R1-R9).
  • Inference correct (NW 12, Petersen clustering, Shanken).
  • 9 robustness checks (≥ 7 required), each tied to real literature concern.
  • Honest self-critique pre-acknowledges five referee challenges.
  • Lagged-ME weights for self-constructed market return; validation against crsp.dsi.vwretd.

Summary

A strong, submission-ready Strategy-phase artifact. Strengths outweigh the minor specificity gaps. The remaining deductions are polish-level and tractable; none threaten the design. No round 2 required for gate purposes.

Recommendations (advisory)

  1. Add explicit statement: “We use CRSP ret throughout. A ‘month’ is the calendar month.”
  2. State sample boundaries: “First predictive observation Feb 1990 (IVOL from Jan 1990 daily returns); last Dec 2024.”
  3. Standardize citations to bibkey form throughout memo body.
  4. Add to R1: “Daily FF3 factors from Ken French Data Library, US Research Factors, daily.”
  5. Optional R10 — Skip-a-month variant — to absorb bid-ask reversal concern at month boundary (≈30 lines of code).
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