jf-robustness

Robustness & Multiple Testing (jf-robustness)

When to trigger

• The main result is in; you must decide which robustness checks to run and where to put them
• A referee will ask "does it survive [alternative measure / subsample / specification]?"
• The finding is one of many you tested and multiple testing is a live concern

JF norm: decisive in the body, exhaustive in the Internet Appendix

JF favors an accessible body within the 60-page limit. Put the 3–6 decisive checks in the main text and move the exhaustive battery to the Internet Appendix, which is bundled at the end of the same PDF and does not count toward 60 pages (see jf-internet-appendix). This main-text/IA split is a JF hallmark; do not bury a load-bearing check.

Multiple testing — a JF-salient concern

JF published the canonical "factor zoo" critique (Harvey, Liu & Zhu, "…and the Cross-Section of Expected Returns," JF). Reviewers therefore expect:

• An honest account of how many specifications/signals were tried.
• Adjusted thresholds (e.g., higher t-cutoffs, FDR control) for any discovery mined from many candidates, not the naive 1.96.
• Pre-registration-style discipline in framing (no HARKing).

Robustness battery (select the load-bearing ones for the body)

• Alternative measures of the key variable
• Subsamples (time, size, industry) and the obvious excluded-period test
• Alternative standard errors / clustering dimensions
• Alternative controls / fixed effects; placebo and falsification tests
• For asset pricing: alternative factor models and EIV-corrected SEs (see jf-empirical-design)

Body-vs-Internet-Appendix triage table

The hardest robustness decision at JF is not which checks to run but which earn a place in the lean body. Triage by how load-bearing each check is to the headline claim:

Check	Lives in body if…	Otherwise → Internet Appendix
The single most threatening alternative explanation	A skeptic's first objection turns on it	never hide it in the IA
Multiple-testing-adjusted threshold (anomalies)	The discovery was mined from many candidates	full grid of signals → IA
Value-weighted / NYSE-breakpoint version	Microcap concentration is plausible	EW + alt breakpoints → IA
Alternative key-variable measure	The measure is contestable and pivotal	the other 4 measures → IA
Subsample / excluded-period	A specific event could drive the result	exhaustive subsamples → IA
Placebo / falsification	One clean falsification clinches credibility	the rest of the battery → IA

The cultural signal at JF: 3–6 decisive checks plus a deep Internet Appendix reads as confident; twenty robustness tables in the body read as defensive.

Worked vignette — surviving the factor-zoo critique

Illustrative numbers. An anomaly paper reports a long-short spread of 0.58%/month, raw t = 3.2, found after screening (honestly disclosed) ~40 candidate signals. JF's published "factor zoo" lens (Harvey, Liu & Zhu) means t = 3.2 is not automatically decisive:

• Disclose the search: "We examined 40 supplier-network signals; we report the survivor." HARKing the count down to one is a fatal credibility error if a referee reconstructs it.
• Apply an adjusted threshold: with ~40 tests an illustrative FDR-style cutoff sits near t ≈ 3.1–3.4, so the body must show the adjusted alpha (say 41 bps, t = 2.9 after FF5 + momentum), not the raw spread.
• Body holds the decisive checks — factor-adjusted alpha, value-weighted/NYSE-breakpoint version (say 33 bps), one placebo. The other 37 signals, all factor models, and every subsample go to the Internet Appendix, each cited from the text.

The editor sees a robust effect, a transparent search, and a magnitude that survives the multiple-testing haircut.

Referee-pushback patterns and the JF-specific fix

Pushback you will hear	JF-specific fix
"How many specifications did you try?"	State the count; report an FDR-/Bonferroni-adjusted threshold
"This is a microcap effect"	Value-weighted, NYSE-breakpoint version in the body
"You buried the failing robustness check"	Surface the load-bearing check in the body, not the appendix

Checklist

• 3–6 decisive checks in the body; the rest in the Internet Appendix
• Number of specifications tried is disclosed
• Multiple-testing adjustment applied to mined results
• At least one placebo/falsification test
• No load-bearing robustness check hidden in the appendix
• Body stays within 60 pages after the split

Anti-patterns

• A 20-table robustness section in the body that pushes the paper over 60 pages
• Reporting only the specifications that "work" without disclosing the search
• Treating raw t > 1.96 as decisive after extensive mining
• Hiding the one check that actually threatens the result in the Internet Appendix

Output format

【Decisive checks in body】[3–6]
【Specifications tried disclosed?】yes / no
【Multiple-testing adjustment?】yes / no — method
【Placebo/falsification present?】yes / no
【Body ≤60 pp after split?】yes / no
【Next step】jf-tables-figures