计量经济分析 = Econometric analysis

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The Theory of Industrial Organization

This chapter discusses how applied researchers in corporate finance can address endogeneity concerns. We begin by reviewing the sources of endogeneity—omitted variables, simultaneity, and measurement error—and their implications for inference. We then discuss in detail a number of econometric techniques aimed at addressing endogeneity problems, including instrumental variables, difference-in-differences estimators, regression discontinuity design, matching methods, panel data methods, and higher order moments estimators. The unifying themes of our discussion are the emphasis on intuition and the applications to corporate finance.

/pdf/endogeneity-in-empirical-corporate-finance1-obm7n5t71j.pdf

Endogeneity in Empirical Corporate Finance1

Handbook of the Economics of Finance

We examine the effects of financial analysts on the real economy in the case of innovation. Our baseline results show that firms covered by a larger number of analysts generate fewer patents and patents with lower impact. To establish causality, we use a difference-in-differences approach that relies on the variation generated by multiple exogenous shocks to analyst coverage, as well as an instrumental variable approach. Our identification strategies suggest a negative causal effect of analyst coverage on firm innovation. The evidence is consistent with the hypothesis that analysts exert too much pressure on managers to meet short-term goals, impeding firms’ investment in long-term innovative projects. We further discuss possible underlying mechanisms through which analysts impede innovation and show that there is a residual effect of analysts on innovation even after controlling for these mechanisms. Our paper offers novel evidence on a previously under-explored adverse consequence of analyst coverage — its hindrance to firm innovation.

The Dark Side of Analyst Coverage: The Case of Innovation

We investigate whether short-termism distorts the investment decisions of stock market listed firms. To do so, we compare the investment behavior of observably similar public and private firms using a new data source on private U.S. firms, assuming for identification that closely held private firms are subject to fewer short-termist pressures. Our results show that compared to private firms, public firms invest substantially less and are less responsive to changes in investment opportunities, especially in industries in which stock prices are most sensitive to earnings news. These findings are consistent with the notion that short-termist pressures distort their investment decisions.

https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID2079888_code33683.pdf?abstractid=1603484&rulid=17285&mirid=2

Corporate Investment and Stock Market Listing: A Puzzle?

We investigate whether short-termism distorts the investment decisions of stock market-listed firms. To do so, we compare the investment behavior of observably similar public and private firms, using a new data source on private U.S. firms and assuming for identification that closely held private firms are subject to fewer short-termist pressures. Our results show that compared with private firms, public firms invest substantially less and are less responsive to changes in investment opportunities, especially in industries in which stock prices are most sensitive to earnings news. These findings are consistent with the notion that short-termist pressures distort investment decisions.

/pdf/corporate-investment-and-stock-market-listing-a-puzzle-qfu70qsmj7.pdf

This article studies scoring auctions, a procedure commonly used to buy differentiated products. suppliers submit offers on all dimensions of the good (price, level ofnonmonetary attributes), and these are evaluated using a scoring rule. We provide a systematic analysis of equilibrium behavior in scoring auctions when suppliers 'private information is multidimensional (characterization of equilibrium behavior and expected utility equivalence). In addition, we show that scoring auctions dominate several other commonly used procedures for buying differentiated products, including menu auctions, beauty contests, and price-only auctions with minimum quality thresholds.

/pdf/properties-of-scoring-auctions-evc51gil0d.pdf

Properties of scoring auctions

We investigate the role of dynamic production inputs and their associated adjustment costs in shaping the dispersion of static measures of capital misallocation within industries (and countries). Across nine data sets spanning 40 countries, we find that industries exhibiting greater time-series volatility of productivity have greater cross-sectional dispersion of the marginal revenue product of capital. We use a standard investment model with adjustment costs to show that variation in the volatility of productivity across these industries and economies can explain a large share (80–90 percent) of the cross-industry (and cross-country) variation in the dispersion of the marginal revenue product of capital.

/pdf/dynamic-inputs-and-resource-mis-allocation-3eki20a9s6.pdf

Dynamic Inputs and Resource (Mis)Allocation

This paper examines bidding in over 1,700 knockout auctions used by a bidding cartel (or ring) of stamp dealers in the 1990s. The knockout was conducted using a variant of the model studied by Daniel Graham, Robert Marshall, and Jean-Francois Richard (1990). Following a reduced form examination of these data, damages, induced inefficiency, and the ring's benefit from colluding are estimated using a structural model in the spirit of Emmanuel Guerre, Isabelle Perrigne, and Quang Vuong (2000). A notable finding is that nonring bidders suffered damages that were of the same order of magnitude as those of the sellers.

/pdf/a-study-of-the-internal-organization-of-a-bidding-cartel-2209ldumx3.pdf

John Asker

Papers

Corporate Investment and Stock Market Listing: A Puzzle?

Corporate Investment and Stock Market Listing: A Puzzle?

Properties of scoring auctions

Dynamic Inputs and Resource (Mis)Allocation

A Study of the Internal Organization of a Bidding Cartel