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Empirical Finance: Identification Strategies in Corporate Finance - 2.5 ECTS
Date and time
Wednesday 26 June 2024 at 09:00 to Thursday 27 June 2024 at 16:00
Registration Deadline
Monday 13 May 2024 at 10:00
Location
Solbjerg Plads - room SP D4 Augustinus Fonden (fourth floor - above canteen),
Solbjerg Plads 3,
2000 Frederiksberg
Solbjerg Plads - room SP D4 Augustinus Fonden (fourth floor - above canteen)
Solbjerg Plads 3
2000 Frederiksberg
Empirical Finance: Identification Strategies in Corporate Finance - 2.5 ECTS
Course Coordinator: Kasper Meisner Nielsen, Department of Finance
Prerequisites
The course is designed as a first-year Ph.D. course. The prerequisites are knowledge of corporate finance theory and econometrics at a M.Sc. level and an ability to work independently with data using a statistical program such as Stata.
Students must participate in the whole course and do all problem sets.
The course is designed as a first-year Ph.D. course. The prerequisites are knowledge of corporate finance theory and econometrics at a M.Sc. level and an ability to work independently with data using a statistical program such as Stata.
Students must participate in the whole course and do all problem sets.
Aim and Objective
The aim of the class is to introduce PhD students in finance and related fields to identification strategies in corporate finance.
The aim of the class is to introduce PhD students in finance and related fields to identification strategies in corporate finance.
The course is designed to provide an introduction to some of the empirical
methods used to identify causal effects in corporate finance.
methods used to identify causal effects in corporate finance.
We will examine how to estimate causal effects in the presence of
potentially unobserved confounding factors and how to make proper
statistical inference about empirical estimates.
The goal of the course is to provide PhD students with a methodological
framework that will enhance their ability to design sound identification
strategies in the area of corporate finance.
Course content
The course is designed to provide an introduction to some of the empirical methods used to identify causal effects in corporate finance. We will examine how to estimate causal effects in the presence of potentially unobserved confounding factors and how to make proper statistical inference about empirical estimates.
The course is designed to provide an introduction to some of the empirical methods used to identify causal effects in corporate finance. We will examine how to estimate causal effects in the presence of potentially unobserved confounding factors and how to make proper statistical inference about empirical estimates.
The goal of the course is to provide PhD students with a methodological framework that will enhance their ability to design sound identification strategies in the area of corporate finance.
The course content has three main elements:
1. The students will be introduced to the main empirical methods used to identify causal effects in corporate finance. The lectures covers the main econometric challenges as well as guidance on how to estimate causal effects.
2. The course combines lectures on microeconometrics with lectures on seminal papers that apply the empirical methods to research questions in the area of corporate finance.
3. The course has a two problem sets that students must complete.
Teaching style
Lectures
Lecture Plan
Lecture 1: Correlation is not causality: Linear regression models, basic assumptions and causal inference (3 hours)
Lecture 2: Instrumental variables and natural experiments (3 hours)
Lecture 3: Difference-in-differences and panel data (3 hours)
Lecture 4: Regression discontinuity design (2 hours)
Lecture 5: Research design and identification strategies (1 hour)
1. The students will be introduced to the main empirical methods used to identify causal effects in corporate finance. The lectures covers the main econometric challenges as well as guidance on how to estimate causal effects.
2. The course combines lectures on microeconometrics with lectures on seminal papers that apply the empirical methods to research questions in the area of corporate finance.
3. The course has a two problem sets that students must complete.
Teaching style
Lectures
Lecture Plan
Lecture 1: Correlation is not causality: Linear regression models, basic assumptions and causal inference (3 hours)
Lecture 2: Instrumental variables and natural experiments (3 hours)
Lecture 3: Difference-in-differences and panel data (3 hours)
Lecture 4: Regression discontinuity design (2 hours)
Lecture 5: Research design and identification strategies (1 hour)
| Date and time | Topic | Readings: |
|
26/6 9-12 am
Augustinusfonden
|
Correlation is not causality: Linear regression models, basic assumptions and causal inference |
Angrist and Pischke, Ch. 1-3. Fazzari, Hubbard, and Petersen (1988) Rajan and Zingales (1998) |
|
26/6 1-4 pm
Augustinusfonden
|
Instrumental variables and natural experiments | Angrist and Pischke, Ch. 4. Angrist and Kruger (2001) Bennedsen, Nielsen, Perez-Gonzalez, and Wolfenzon (2007) Nguyen and Nielsen (2010) |
|
27/6 9-12 am
D4.20
|
Difference-in-differences and panel data | Angrist and Pischke, Ch. 5. Yagan (2015) Bertrand and Mullainathan (2003) Bertrand, Duflo, and Mullainathan (2004) |
|
27/6 1-4 pm
D4.20
|
Regression discontinuity design | Angrist and Pischke, Ch. 6. Iliev (2010) Cunat, Gine, and Guadalupe (2012) |
Learning objectives
The course objectives are to:
• Apply microeconometric methods in the area of corporate finance
• Identify econometric challenges in research designs in corporate finance
• Evaluate identification strategies and empirical methods used in corporate finance
• Formulate identification strategies to address econometric challenges in corporate finance
The course objectives are to:
• Apply microeconometric methods in the area of corporate finance
• Identify econometric challenges in research designs in corporate finance
• Evaluate identification strategies and empirical methods used in corporate finance
• Formulate identification strategies to address econometric challenges in corporate finance
Exam
Please see 'Course content - element 3'
Please see 'Course content - element 3'
Other
The course is offered through The Nordic Finance Network, and the Department of Finance at CBS will cover the course fee for PhD students from other NFN associated universities.
The course is offered through The Nordic Finance Network, and the Department of Finance at CBS will cover the course fee for PhD students from other NFN associated universities.
Course Literature
Course participants are expected to have read this literature before the course
Course participants are expected to have read this literature before the course
Textbook
Angrist and Pischke, 2008. Mostly Harmless Econometrics. Princeton University Press.
Angrist and Pischke, 2008. Mostly Harmless Econometrics. Princeton University Press.
Academic papers
Angrist and Kruger, 2001. Instrumental variables and the search for identification: From supply and demand to natural experiments. Journal of Economic Perspectives.
Angrist and Kruger, 2001. Instrumental variables and the search for identification: From supply and demand to natural experiments. Journal of Economic Perspectives.
Bennedsen, Nielsen, Perez-Gonzalez and Wolfenzon, 2007. Inside the family firm: The role of families in succession decisions and performance. Quarterly Journal of Economics.
Bertrand, Duflo, and Mullannaithan, 2004. How much should we trust difference-in-differences estimates? Quarterly Journal of Economics.
Bertrand and Mullainathan, 2003. Enjoying the quiet life? Corporate governance and managerial preferences. Journal of Political Economy.
Cunat, Gine and Guadalupe, 2012. The vote is cast: The effect of corporate governance on shareholder value. Journal of Finance.
Fazzari, Hubbard and Petersen, 1988. Financing constraints and corporate investments. Brookings Papers on Economic Activity.
Iliev, 2010. The effect of SOX section 404: Costs, earnings quality, and stock prices. Journal of Finance.
Nguyen and Nielsen, 2010. The value of independent directors: Evidence from sudden deaths. Journal of Financial Economics.
Rajan and Zingales, 1998. Financial dependence and growth. American Economic Review.
Yagan, 2015. Capital tax reform and the real economy: The effects of the 2003 dividend tax cut. American Economic Review.
Suggested readings
Surveys of empirical methods in corporate finance: Roberts and Whited. 2013.
Surveys of empirical methods in corporate finance: Roberts and Whited. 2013.
Endogeneity in Empirical Corporate Finance. Handbook of the Economics of Finance, vol. 2.
Atanasov and Black. 2016. Shock-based causal inference in corporate finance and accounting research. Critical Finance Review.
Registration deadline and conditions
The registration deadline is 13 May 2024. If you want to cancel your registration on the course it should be done prior to this mentioned date. By this date we determine whether we have enough registrations to run the course, or who should be offered a seat if we have received too many registrations.
If there are more seats available on the course we leave the registration open by setting a new regsitration deadline in order to fill remaining seats. Once you have received our acceptance/welcome letter to join the course, your registration is binding and we do not refund your course fee. The binding registration date will be the registration deadline mentioned above.
Payment methods
Make sure you choose the correct method of payment upon finalizing your registration:
CBS students:
Choose payment method CBS PhD students and the course fee will be deducted from your PhD course budget.
Students from other Danish universities:
Choose payment method Danish Electronic Invoice (EAN). Fill in your EAN number, attention and possible purchase (project) order number.
Do you not pay by EAN number please choose Invoice to pay via electronic bank payment (+71).
Students from foreign universities:
Choose payment method Payment Card. Are you not able to pay by credit card please choose Invoice International to pay via bank transfer.
Please note that your registration is binding after the registration deadline.
Event Location
Click to view the event location on Google Maps >
Organizer Contact Information
CBS PhD School
Bente Ramovic
Phone: +45 3815 3138
bsr.research@cbs.dk
Registration
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Organizer Contact Information
CBS PhD School
Bente Ramovic
Phone: +45 3815 3138
bsr.research@cbs.dk