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Empirical Finance: Identification Strategies in Corporate Finance - 2,5 ECTS
Date and time
Wednesday 23 February 2022 at 09:00 to Thursday 24 February 2022 at 16:00
Registration Deadline
Wednesday 23 February 2022 at 09:00
Location
Room TBA,
Campus TBA,
2000 Frederiksberg
Room TBA
Campus TBA
2000 Frederiksberg
Empirical Finance: Identification Strategies in Corporate Finance - 2,5 ECTS
Event Description
| Faculty | ||
| Professor Kasper Meisner Nielsen | ||
Course Coordinator |
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| Kasper Meisner Nielsen | ||
Prerequisites |
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| 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 |
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Aim |
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| The aim of the class to introduce Ph.D. students in finance and related fields to identification strategies in corporate finance. | ||
Course content |
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| 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. |
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Teaching style |
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| Lectures | ||
Lecture plan |
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| 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) |
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Learning objectives |
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The course objectives are to:
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Exam |
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| Please see 'Course content - element 3' | ||
Other |
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| 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. | ||
Start date |
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| 23/02/2022 | ||
End date |
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| 24/02/2022 | ||
Level |
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| PhD | ||
ECTS |
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| 2.5 | ||
Language |
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| English | ||
Course Literature |
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| Course participants are expected to have read this literature before the course
Textbook: 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. 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. 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. |
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