Type of Credit: Elective
Credit(s)
Number of Students
This is a rigorous and demanding course and students are expected to devote their time in working their research topics.
This master course is aimed to give students an overview of empirical contributions of modern finance with a focus on corporate finance. The course will prepare students to conduct independent empirical finance research which could potentially leads to their dissertation.
Note that this is a heavy-loading course designed for students who are interested in doing empirical finance research.
能力項目說明
| 教學週次Course Week | 彈性補充教學週次Flexible Supplemental Instruction Week | 彈性補充教學類別Flexible Supplemental Instruction Type |
|---|---|---|
Week Date Topic
1 2/19 Issues
2 2/26 Methodology
3 3/4 Event study
4 3/11 Asset pricing
5 3/18 Security offerings
6 3/25 Payout
7 4/1 Proposal preparation
8 4/8 Proposal due
9 4/15 Capital structure
10 4/22 Corporate governance
11 4/29 Political connection
12 5/6 Culture
13 5/13 Presentation of replication
14 5/20 Proposal discussion and revision
15 5/27 Proposal discussion and revision
16 6/3 Research paper presentation
17 6/10 Holiday
18 6/17 Research paper presentation
Participation/presentations 25%
Assignments 25%
Research proposal and term paper 50%
Students are required to read the suggested readings before classes. Each student should pick up at least two topics in the list and present at least four papers in class. I will offer some assignments to implement the methods you learn from this course. In addition, each student is required to replicate one paper from the reading list and present on May 15. Students are also required to submit and present their research papers by the end of the semester. To make sure that students can complete their research papers, students need to present their proposal on April 10. I encourage students to discuss with me about your research topic as early as possible. Students can write the proposal by your own or co-author with another student.
I would like you to offer motivations to explain why you choose a specific topic for your research. I expect to see detailed literature review in your proposal. Please specify your hypotheses and methods you plan to use.
You are strongly encouraged to read papers from the Journal of Finance, Journal of Financial Economics, and Review of Financial Studies. Their recent and forthcoming articles can be downloaded from afajof.org, www.jfe.rochester.edu, and rfs.oxfordjournals.org, respectively.
Readings:
This reading list is tentative and is subject to change.
1. Methodology
Peterson, Mitchell, 2009, Estimating standard errors in finance panel data sets: Comparing approaches, Review of Financial Studies 22, 435-480.
Roberts, Michael R. and Toni M. Whited, 2013, Endogeneity in empirical corporate finance, Handbook of the Economics of Finance, vol 2.
Savor, Pavel, and Qi Lu, 2009, Do stock mergers create value for acquirers? Journal of Finance 64, 1061-1097.
Chen, Tao, Jarrad Harford, Chen Lin, 2015, Do analysts matter for governance: Evidence from natural experiments, Journal of Financial Economics 115, 383–410.
Fang, Vivian W., Allen H. Huang, and Jonathan M. Karpoff, 2015, Short selling and earnings management: A controlled experiment, Journal of Finance 71, 1251-1294.
Dittmar, Amy, Ran Duchin, Shuran Zhang, 2020, The timing and consequences of seasoned equity offerings: A regression discontinuity approach, Journal of Financial Economics 138, 254-276.
2. Event Study
Loughran, Tim, and Jay Ritter, 1995, The new issues puzzle, Journal of Finance 50, 23-51.
Barber, Brad, and John Lyon, 1997, Detecting long-run abnormal stock returns: The empirical power and specification of test statistics, Journal of Financial Economics 43, 341-372.
Ikenberry, David, and Sundaresh Rammath, 2002, Underreaction to self-selected news events: The case of stock splits, Review of Financial studies 15, 489-526.
Bessembinder, Hendrik, and Feng Zhang, 2013, Firm characteristics and long-run stock returns after corporate events, Journal of Financial Economics 109, 83-102.
3. Asset pricing
Lakonishok, Josef, Andrei Shleifer, and Robert Vishny, 1994, Contrarian investment, extrapolation, and risk, Journal of Finance 49, 1541-1578.
Cooper, Michael, Gulen, Schill, M., 2008, Asset growth and the cross-section of stock returns. Journal of Finance 63, 1609-1651.
Fama, Eugene, Kenneth French, 2008, Dissecting anomalies, Journal of Finance 63, 1653-1678.
McLean, R. David, Jeffrey Pontiff, and Akiko Watanabe, Share issuance and cross-sectional returns: International evidence, Journal of Financial Economics 94, 1-17.
Hou, Kewei, Chen Xue, and Lu Zhang, 2015, Digesting anomalies: An investment approach. Review of Financial Studies 28, 650-705.
Fama, Eugene, and Kenneth French, 2015, A five-factor asset pricing model, Journal of Financial Economics 116, 1-22.
Cohen, L., Diether, K., & Malloy, C., 2013, Misvaluing innovation. The Review of Financial Studies, 26(3), 635-666.
Green, Jeremiah, John R.M. Hand, X. Frank Zhang, 2017, The characteristics that provide independent information about average us monthly stock returns, Review of Financial Studies 30, 4389-4436.
Harvey, Campbell R., and Yan Liu, 2020, False (and missed) discoveries in financial economics, Journal of Finance, 2503-2553.
Harvey, Campbell R., Yan Liu, and Heqing Zhu, 2016, … and the cross-section of expected returns, Review of Financial Studies 29, 5-68.
Hou, Kewei, Chen Xue, and Lu Zhang, 2020, Replicating Anomalies, Review of Financial Studies 33, 2019-2133.
4. Security Offerings
Ritter, Jay, and Ivo Welch, 2002, A review of IPO activity, pricing, and allocations, Journal of Finance 57: 1795-1828.
Loughran, Tim, and Jay R. Ritter, 2004, Why has IPO underpricing changed over time? Financial Management 33, 5-37.
Bradley, Daniel, Bradford D. Jordan, and Jay R. Ritter, 2003, Analyst behavior following IPOs: The ‘bubble period’ evidence, Review of Financial Studies 21, 101-133.
Lowry, Michelle, 2003, Why does IPO volume fluctuate so much?” Journal of Financial Economics 67, 3-40.
Baker, Malcolm, and Jeffrey Wurgler, 2000, The equity share in new issues and aggregate stock returns, Journal of Finance 55, 2219-2257.
Lyandres, Evgeny, Le Sun, and Lu Zhang, 2008, The new issues puzzle: Testing the investment-based explanation, Review of Financial. Studies 21, 2825-2855.
DeAngelo, Henry, Linda DeAngelo, Rene Stulz, 2010, Seasoned equity offerings, market timing, and the corporate lifecycle, Journal of Financial Economics 69, 275-295.
Greenwood, Robin, and Samuel G. Hanson, 2012, Share issuance and factor timing, Journal of Finance 67, 761-798.
5. Payout
Fama, Eugene, and Kenneth French, 2001, Disappearing dividends: Changing firm characteristics or lower propensity to pay? Journal of Financial Economics 60, 3-43.
Brav, Alon, John Graham, Campbell Harvey, and Roni Michaely, 2005, Payout policy in the 21st century, Journal of Financial Economics 77, 483-527.
DeAngelo, Henry, Linda DeAngelo, and Rene Stulz, 2006, Dividend and the earned/contributed capital mix: a test of the life-cycle theory, Journal of Financial Economics 81, 227-254.
Michaely, Roni, Amani Moin, 2022, Disappearing and reappearing dividends, Journal of Financial Economics 143, 207-226.
Ikenberry, David, Josef Lakonishok, and Theo Vermaelen 1995, Market underreaction to open market repurchases, Journal of Financial Economics 39, 181-208.
Grullon, Gustavo, and Roni Michaely, 2004, The information content of share repurchase programs, Journal of Finance 59, 651–680.
Dittmar, Amy, 2000, Why do firms repurchase stock? Journal of Business 73, 331-355.
Almeida, Heitor, Vyacheslav Fos, and Mathias Kronlund, 2016, The real effects of share repurchase, Journal of Financial Economics, 119, 168-185.
Wang, Zigan, Qie Ellie Yin, Luping Yu, 2021, Real effects of share repurchases legalization on corporate behaviors, Journal of Financial Economics, 140, 197-219.
6. Capital Structure
Shyam-Sunder, Lakshmi, and Stewart Myers, 1999, Testing static tradeoff against pecking order models of capital structure, Journal of Financial Economics 51, 219-244.
Frank, Murray, and Vidhan Goyal, 2003. Testing the pecking order theory of capital structure, Journal of Financial Economics 67, 217-248.
Baker, Malcolm, and Jeffrey Wurgler, 2002, Market timing and capital structure, Journal of Finance 57, 1-32.
Alti, Aydogan, 2006, How persistent is the impact of market timing on capital structure? Journal of Finance 61, 1681-1710.
Flannery, Mark, and Kasturi Rangan, 2006, Partial adjustment towards target capital structures, Journal of Financial Economics 79, 469-506.
Lemmon, Michael, Michael Roberts, and Jaime Zender, 2008, Back to the beginning: Persistence and the cross-section of corporate capital structure, Journal of Finance 63, 1575-1608.
Faulkender, Michael, and Mitchell Petersen, 2006, Does the source of capital affect capital structure? Review of Financial Studies 19, 45-79.
Leary, Mark, 2009, Bank loan supply, lender choice, and corporate capital structure, Journal of Finance 64, 1143-1185.
Fracassi, Cesare, and Geoffrey Tate, 2012, External networking and internal firm governance, Journal of Finance 67, 153–194.
Massa, Massimo, Ayako Yasuda, and Lei Zhang, 2013, Supply uncertainty of bond investor base and the leverage of the firm, Journal of Financial Economics 110, 185-214.
Saretto, Alessio, and Heather E. Tookes, 2013, Corporate leverage, debt maturity and credit default swaps: The role of credit supply, Review of Financial Studies 26, 1190-1247.
7. Corporate Governance
Morck, Randall, Andrei Shleifer, and Robert Vishny, 1988, Management ownership and market valuation: An empirical analysis, Journal of Financial Economics 20, 293-315.
La Porta, R., López-de-Silanes, F., Shleifer, A., 1999, Corporate ownership around the world. Journal of Finance 54, 471–517.
La Porta, Rafael, Florencio Lopez-de-Silanes, Andrei Shleifer, and Robert Vishny, 2002, Investor protection and corporate valuation, Journal of Finance 57, 1147-1170.
Claessens, S., Djankov, S., Lang, L. H. P., 2000, The separation of ownership and control in East Asian corporations. Journal of Financial Economics 58, 81–112.
Faccio, M., Lang, H.P., 2002, The ultimate ownership of Western European corporations. Journal of Financial Economics 65, 365–395.
Claessens, S., Djankov, S., Fan, J., Lang, L.H.P., 2002, Disentangling the incentive and entrenchment effects of large shareholdings, Journal of Finance 57, 2741–2771.
Bertrand, M., Mehta, P., Mullainathan, S., 2002, Ferreting out Tunneling: An Application to Indian Business Groups, Quarterly Journal of Economics 117, 121-148.
La Porta, R., López-de-Silanes, F., Zamarripa, G., 2003, Related lending, Quarterly Journal of Economics 118, 231–268.
Bae, G., Cheon, Y., Kang, J., 2008, Intra-Group Propping: Evidence from the Stock-Price Effects of Earnings Announcement by Korean Business Groups, Review of Financial Studies 21, 2015-2060.
Laeven, L., Levine, R., 2008, Complex ownership structures and corporate valuations. Review of Financial Studies 21, 579–604.
Gompers, P., Ishii, J., Metrick, A., 2010, Extreme governance: An analysis of dual-class firms in the United States. Review of Financial Studies 23, 1051–1088.
Jiang, G., Lee, C., Yue, H., 2010, Tunneling through intercorporate loans: The China experience. Journal of Financial Economics 98, 1–20.
Lin, C., Ma, Y., Malatesta, P., Xuan, Y., 2011, Ownership structure and the cost of corporate borrowing. Journal of Financial Economics 100, 1–23.
8. Political connection
Fisman, R., 2001, Estimating the value of political connections. American Economic Review 91, 1095-1102.
Khwaja, A. I., Mian, A., 2005, Do lenders favor politically connected firms? Rent-seeking in an emerging financial market. Quarterly Journal of Economics 120, 1371-1411.
Dinç, S.I., 2005. Politicians and banks: political influences on government-owned banks in emerging countries. Journal of Financial Economics 77, 453-479.
Faccio, M., 2006, Politically connected firms. American Economic Review 96, 369-386.
Leuz, C., Oberholzer-Gee, F., 2006, Political relationships, global financing, and corporate transparency: Evidence from Indonesia. Journal of Financial Economics 81, 411-439.
Fan, P.H.J., Wong, T.J., Zhang, T., 2007, Politically-connected CEOs, corporate governance and post-IPO performance of China’s newly partially privatized firms. Journal of Financial Economics 84, 330-357.
Fisman, R., Miguel E., 2007, Corruption, norms, and legal enforcement: Evidence from diplomatic parking tickets. Journal of Political Economy 115, 1020-1048.
Goldman, E., Rocholl, J., So, J., 2009, Do politically connected boards affect firm value? Review of Financial Studies 22, 2331-2361.
Calomiris, C.W., Fisman, R., Wang, Y., 2010, Profiting from government stakes in a command economy: Evidence from Chinese asset sales. Journal of Financial Economics 96, 399-412.
Cohen, Lauren, Joshua Coval, and Christopher J. Malloy, 2011, Do powerful politicians cause corporate downsizing? Journal of Political Economy 119, 1015–1060.
9. Culture
Guiso, Luigi, Paola Sapienza, and Luigi Zingales, 2004, The role of social capital in financial development, American Economic Review 94, 526–556.
Guiso, Luigi, Paola Sapienza, and Luigi Zingales, 2006, Does culture affect economic outcomes? Journal of Economic Perspectives 20, 23–48.
Chui, Andy C. W., Sheridan Titman, and K. C. John Wei, 2010, Individualism and momentum around the world, Journal of Finance 65, 361-392.
Guiso, Luigi, Paola Sapienza, and Luigi Zingales, 2015, The value of corporate culture, Journal of Financial Economics 117, 60-76.
Michalopoulos, Stelios, and Elias Papaioannou, 2014, National institutions and subnational development in Africa, Quarterly Journal of Economics 129, 151-213.
Nunn, Nathan, 2008, The long-term effects of Africa’s slave trades, The Quarterly Journal of Economics 123, 139-176.