Economists and financial professionals often use the term "stylized facts" as an alternative to a set of descriptive statistics or just data. Formally, a stylized fact can be a simplified representation or an empirical regularity that serves as the foundation for building theory. It may not be a simple piece of information, but a formal empirical regularity. In a recent paper, "International Financial Markets Through 150 Years: Evaluating Stylized Facts", the authors test a set of well-known stylized facts across a broad set of markets and a long time. This is the most exhaustive analysis of well-known stylized facts ever undertaken. We will not present all of the findings, but will show the summary table of what was tested.
Why is this so important? The stylized facts should be thought of as the Bayesian prior for any future analysis. Start with the stylized facts of what should appear in the data. You should not find something different, but you should argue that this is the basis for any future work. Before you pass judgment on a theory or set of data, look for the stylzied facts that already exist.
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