Handbooks in Finance: Empirical Corporate Finance

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Handbook of Empirical Corporate Finance B. Espen Eckbo (Ed.) Link for author style instructions: Elsevier/North-Holland Outline Preface

Part A: Econometric Issues and Methodological Trends

1 Econometrics of Event Studies (Kothari, Warner)

2 Self-Selection Models in Corporate Finance (Li, Prabhala)

3 Auctions in Corporate Finance (Hansen)

4 Behavioral Corporate Finance (Baker, Ruback, Wurgler)

Part B:: Capital Structure Choice: Classical Tradeoffs and Information Issues

5 Taxes and Corporate Finance (Graham)

6 Bankruptcy and Financial Distress (John, Hotchkiss, Mooradian, Thorburn)

7 Tradeoff and Pecking Order Theories of Debt (Frank, Goyal)

8 Leverage and Industrial Competition (Titman, Dasgupta)

Part C: Raising Capital: Primary Markets, Issue Costs, and Security Pricing

9 Internal Capital Markets (Maksimovic,Phillips)

10 Credit Markets and Banking (Puri)

11 Private Equity and Venture Capital Funding (Gompers)

12 IPO Underpricing (Ljungqvist)

13 Seasoned Equity Offerings (Eckbo, Masulis, Norli)

Part D: Managerial Incentives, Compensation, and Corporate Control

14 Managing Corporate Risk (Smith)

15 Corporate Payout Policies (Kalay, Lemmon)

16 Executive Compensation (Aggarwal)

17 Takeovers, Restructurings, and Corporate Control (Betton, Eckbo,Thorburn, Dartmouth)

这是最近出版的金融学手册，如果各位能够找到其中的工作论文，请贴出供大家学习

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关键词：Corporate Handbooks Empirical handbook Finance Finance Corporate Empirical Handbooks

对行为经济学来说，能否寻找到经验证据非常关键，而这又取决于计量经济学的技术本身。在最新的金融学手册中，收录了关于事件研究的综述。事件研究经常被用于行为金融的检验，是非常普及的一种计量经济学研究方法。如果要从事这方面的研究，必须要理解和学好运用该方法。那么研读以下两篇文献就非常重要了。有兴趣者请贴上阅读体会。

2123.rar (114.92 KB) 本附件包括：

• 事件研究的计量经济学.pdf

2004-11-1 15:10:00 上传

Handbooks in Finance: Empirical Corporate Finance

事件研究的计量经济学

The number of published event studies exceeds 500, and the literature continues to grow. We provide an overview of event study methods. Short-horizon methods are quite reliable. While long-horizon methods have improved, serious limitations remain. A challenge is to continue to refine long- horizon methods. We present new evidence that properties of event study methods can vary by calendar time period and can depend on event sample firm characteristics such as volatility. This reinforces the importance of examining event study statistical properties for non-randomly selected samples.

相关的一篇文章，可以和这个综述文章对比阅读

Testing Behavioral Finance Theories Using Trends and Sequences in Financial Performance

Assessing the predictive ability of behavioral finance theories using out-of-sample data is important. Without predictive tests, the risk of overfitting theory to data is large considering the potentially boundless set of psychological biases underlying the behavioral explanations for observed security price behavior. We test pricing effects attributed to a central psychological bias, representativeness, which underlies many behavioral-finance theories. This bias influences individuals’ beliefs about future outcomes based on how closely past outcomes represent certain categories. To produce out-of-sample tests, we use accounting performance to identify these categories and test the idea that investors misclassify firms and thus systematically misprice them. Evidence fails to suggest that trends and sequences of accounting performance, as a proxy for representativeness bias, influence investor expectations to generate return predictability.

2124.rar (696.44 KB) 本附件包括：

• 行为金融检验方法.pdf

2004-11-1 15:12:00 上传

Handbooks in Finance: Empirical Corporate Finance

闲人兄，这跟中级计量的区别是什么？

这不过是计量经济学的一些方法在金融学中的应用而已。但金融学中很多时候更多地运用微观计量的技术

为了便于同志们讨论事件研究技术，俺再贴出事件研究在公司法实证研究中的具体运用。基本的技术方面也可以参见坎贝尔的金融市场计量经济学中关于事件研究一章。

2132.rar (149.99 KB) 本附件包括：

• 268285.pdf

2004-11-2 09:00:00 上传

Handbooks in Finance: Empirical Corporate Finance

EVENT STUDIES AND THE LAW: PART II – Empirical Studies of Corporate Law

2133.rar (113.72 KB) 本附件包括：

• lepp.pdf

2004-11-2 09:04:00 上传

Event Studies and the Law–Part I: Technique and Corporate Litigation

[此贴子已经被作者于2004-11-2 9:04:40编辑过]

以下是引用闲人在2004-11-2 8:55:51的发言： 这不过是计量经济学的一些方法在金融学中的应用而已。但金融学中很多时候更多地运用微观计量的技术

多谢指教.

2197.rar (310.32 KB) 本附件包括：

• Do Behavioral Biases Affect Prices.pdf

2004-11-3 21:11:00 上传

Handbooks in Finance: Empirical Corporate Finance

forthcoming in JF 2005

Winner of the 2001 Western Finance Association Best Paper on Investments

Do Behavioral Biases Affect Prices? JOSHUA D. COVAL Harvard University - Finance Unit TYLER G. SHUMWAY University of Michigan May 4, 2001 EFA 2001 Barcelona Meetings

Abstract: This paper documents strong evidence of behavioral biases among Chicago Board of Trade proprietary traders and investigates the effect these biases have on prices. Our traders appear highly loss-averse. Traders who experience morning losses are about 16 percent more likely to assume above-average afternoon risk than traders with morning gains. This behavior has important short-term consequences for afternoon prices, as losing traders are prepared to purchase contracts at higher prices and sell contracts at lower prices than those that prevailed previously. However, during the ten minutes that follow these trades, prices revert strongly to their earlier levels. Consistent with these findings, short-term afternoon price volatility is positively related to the prevalence of morning losses among locals, but overall afternoon price volatility is not. Keywords: Loss Aversion

Joshua D. Coval

http://dor.hbs.edu/fi_redirect.jhtml?facInfo=pub&facEmId=jcoval&loc=extn

在早期资本结构的讨论中，关于税收对资本结构的影响一直处于争论中。Graham围绕这一问题进行了有关经验实证文献的总结。早期的可参见任何一本公司金融教科书

[Point=500]

2238.rar (618.57 KB) 本附件包括：

• 税收和资本结构.pdf

2004-11-5 08:42:00 上传

Handbooks in Finance: Empirical Corporate Finance

“Taxes and Corporate Finance” by John R. Graham B. Espen Eckbo (ed.), Handbook of Empirical Corporate Finance (Elsevier/North-Holland), Chapter 5, forthcoming.

Abstract: This paper reviews tax research related to domestic and multinational capital structure, debt maturity, payout policy, compensation policy, risk management, earnings management, leasing, pensions, R&D partnerships, tax shelters, transfer pricing, and organizational form. For each topic, the theoretical arguments explaining how taxes can affect corporate decision-making and firm value are reviewed, followed by a summary of the related empirical evidence and a discussion of unresolved issues. Tax research generally supports the hypothesis that high-tax rate firms pursue policies that provide tax benefits. Many issues remain unresolved, however, including understanding whether tax effects are of first-order importance, why firms do not pursue tax benefits more aggressively, and whether corporate actions are affected by investor-level taxes.[/Point]

[Point=400]

2473.rar (338.28 KB) 本附件包括：

• 行为公司金融综述.pdf

2004-11-9 08:37:00 上传

Handbooks in Finance: Empirical Corporate Finance

Behavioral Corporate Finance: A Survey∗ Malcolm Baker Harvard Business School and NBER mbaker@hbs.edu Richard S. Ruback Harvard Business School rruback@hbs.edu Jeffrey Wurgler NYU Stern School of Business and NBER jwurgler@stern.nyu.edu October 9, 2004

以上是迄今行为公司金融最全面的综述，在俺的印象中也是唯一一篇，以前谢甫林写过一个介绍。如果仔细阅读这篇文章，才能真正领悟公司金融中行为经济学的贡献和未来的研究趋势。另一篇公司金融的综述文章是Stein代理、信息和公司投资，参见本版金融经济学手册一栏。

国内最早介绍行为公司金融的是朱武详在经济学动态上发表的文章，但这篇文章主要还是依据 A Survey of Behavioral Finance - Nicholas C. Barberis and Richard H. Thaler。较系统介绍这个方面的有周业安和陈彦斌老师合写的“公司金融的新进展”，参见本版行为资产定价理论综述一栏的文章发布。这篇文章是通过对比公司金融中契约分析和行为分析来介绍行为公司金融理论的。相对比较有特色。[/Point]

[此贴子已经被作者于2004-11-9 8:55:20编辑过]

Handbooks in Finance: Empirical Corporate Finance Chapter III.4: IPO Underpricing Alexander Ljungqvist Salomon Center Stern School of Business New York University and CEPR

相关的综述参见本版金融经济学手册置顶贴：Ritter投资银行和证券发行

公司金融中，股票发行行为一直是人们比较关注的问题，特别是全球证券市场存在的一些普遍问题更是引起金融学家的关注，比如证券发行低定价问题；证券发行后一段时期收益率下降（即所谓业绩下滑）问题，证券发行中的动量等。过去大家都是按照信息不对称和不完全来理解，但行为经济学越来越多的研究发现，这是一个行为问题，比如公司发行证券纯粹是抓住市场时机，如果缺乏投资机会，但市场证券发行机会很好，仍然会选择发行证券，然后让钱躺在账户上。

现在我们总是批评中国的股市上市公司圈钱，其实这是一个全球性的普遍现象，不能称为圈钱，按照行为经济学的理解，这恰恰是公司抓住市场时机的理性决策

[此贴子已经被作者于2005-2-21 8:32:15编辑过]