Empirical Corporate Finance
Aims
Students should be able to write an empirical paper using the appropriate empirical techniques.
Information
Topics to be discussed include linear regression (univariate and multivariate OLS, endogeneity, interpretation, assumptions, tests), linear panel data (pooled OLS, fixed and random effects, robust and clustered standard errors), causality, instrumental variables, natural experiments, regression discontinuity design, matching, discrete choice models and event studies. During the lecture students cover the relevant material and discuss papers related to the specific technique. The course also provides an introduction to Stata through class examples and the use of a real dataset. Students are expected to use Stata for their own paper..
Assessment
Students are required to write and present an empirical paper in the (broad) area of corporate finance.
Materials
The main textbook is “Econometric Analysis of Cross Section and Panel Data” by Jeffrey Woolridge. Nevertheless, other books are also used as well (A Guide to Modern Econometrics, Marno Verbeek; Mostly Harmless Econometrics, Joshua Angrist and Steffen Pischke; Introduction to Econometrics , James H. Stock and Mark W. Watson) as papers from finance/economics journals
