Winsorizing panel data

#1
Hey :)

I am currently working on my bachelor thesis in finance and I faced some problems regarding my dataset. I wanted to analyze the effect of leverage on the performance of companies and as many researchers before me, I wanted to use a multiple linear regression model. My tutor advised me to winsorize the data at 2.5% and 97.5%. However, when I checked the statistics for it, for some of my variables over 200 observations out of 4000 have been detected as outliers. For other variables even 2000 observations are being marked as outliers. I was searching for answers on the web and tried different methods in order to reduce the numbers. However, it still doesn’t work, and it doesn’t make any sense to me. It would be more than lovely if someone could give me some advice on it.

Thanks
Christoph