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That makes sense. I haven't read Skin in the Game, but based on the topic it does seem like something that could be studied. Antifragile I found painful to read because of his tone and didn't finish it, although I think that's a slightly harder one to demonstrate with data.
I can't help but wonder which of his books you read. I disagree with Taleb about a lot, and I find some of his attitudes annoying, but I don't know how you can use "data" to argue with something like Fooled By Randomness. One of the major arguments of the book is that "data" and the inferences drawn by using it are dramatically less reliable than they seem. Turning around and asking for data really seems to miss the point.