RA work experience not only demonstrates your ability to do academic research but also helps you get better recommendation letters. There are many people, who major in engineer and hardly do any research in finance, successfully got admission in very good Ph.D. finance programs. But the point is that they have good reasons explaining why they want to pursue a Ph.D. in finance instead of just research experience.
If you can code in STATA, R, or Python, you have advantages. R and STATA are good for statistics and econometrics, but Python is very powerful if you want to do something regarding big data. If you're interested in doing empirical research in finance, then Python is a big plus. It also impresses the admission committee.