计量经济分析 = Econometric analysis

1. Introduction and Overview. 2. Detecting Influential Observations and Outliers. 3. Detecting and Assessing Collinearity. 4. Applications and Remedies. 5. Research Issues and Directions for Extensions. Bibliography. Author Index. Subject Index.

Regression Diagnostics: Identifying Influential Data and Sources of Collinearity

In 1974 an article appeared in Science magazine with the dry-sounding title “Judgment Under Uncertainty: Heuristics and Biases” by a pair of psychologists who were not well known outside their discipline of decision theory. In it Amos Tversky and Daniel Kahneman introduced the world to Prospect Theory, which mapped out how humans actually behave when faced with decisions about gains and losses, in contrast to how economists assumed that people behave. Prospect Theory turned Economics on its head by demonstrating through a series of ingenious experiments that people are much more concerned with losses than they are with gains, and that framing a choice from one perspective or the other will result in decisions that are exactly the opposite of each other, even if the outcomes are monetarily the same. Prospect Theory led cognitive psychology in a new direction that began to uncover other human biases in thinking that are probably not learned but are part of our brain’s wiring.

Thinking fast and slow.

Trust: The Social Virtues and the Creation of Prosperity

Men and Women of the Corporation

This paper analyses the short-term wealth effects of large intra-European takeover bids. We find announcement effects of 9% for the target firms compared to a statistically significant announcement effect of only 0.7% for the bidders. The type of takeover bid has a large impact on the short-term wealth effects with hostile takeovers triggering substantially larger price reactions than friendly operations. When a UK firm is involved, the abnormal returns are higher than those of bids involving both a Continental European target and bidder. There is strong evidence that the means of payment in an offer has an impact on the share price. A high market-to-book ratio of the target leads to a higher bid premium, but triggers a negative price reaction for the bidding firm. We also investigate whether the predominant reason for takeovers is synergies, agency problems or managerial hubris. Our results suggest that synergies are the prime motivation for bids and that targets and bidders share the wealth gains.

/pdf/shareholder-wealth-effects-of-european-domestic-and-cross-2cabnpxew8.pdf

Shareholder Wealth Effects of European Domestic and Cross-border Takeover Bids

This paper investigates the market's reaction to U.K. insider transactions and analyzes whether the reaction depends on the firm's ownership. We present three major findings. First, differences in regulation between the U.K. and United States, in particular the speedier reporting of trades in the U.K., may explain the observed larger abnormal returns in the U.K. Second, ownership by directors and outside shareholders has an impact on the abnormal returns. Third, it is important to adjust for news released before directors' trades. In particular, trades preceded by news on mergers and acquisitions and CEO replacements contain significantly less information.

Insider trading, news releases and ownership concentration

/pdf/insider-trading-news-releases-and-ownership-concentration-3w5po4no1t.pdf

Insider Trading, News Releases, and Ownership Concentration

https://www.pure.ed.ac.uk/ws/files/87397794/ChenEtalJCF2017TheImpactOfBoardGender.pdf

The impact of board gender composition on dividend payouts

This paper analyses the decision to change the dividend for a panel of German firms from 1984 to 1994. The period captures an economic boom which followed by a recession. This study comes up with two findings which refine the results by Lintner (1956) and Miller and Modigliani (1961). First, the occurrence of a loss is a key determinant of the dividend decision in addition to the level of net earnings. Second, dividend cuts or omissions tend to be temporary and the majority of German firms revert within two years to their initial dividend level. This stands in marked contrast with the US where firms are more likely to reduce their dividend when earnings deteriorate on a permanent basis. Furthermore, the fact that German firms frequently omit and cut their dividend and quickly return to their initial dividend suggests that dividends in Germany have less of a signalling role than dividends in the US or UK. Our findings also contradict Bhattacharya's (1979) argument that the costs of dividend changes are asymmetric with dividend reductions being more costly to the firm than dividend increases. Finally, we find that firms with banks as major shareholder are more willing toomit the dividend than firms controlled by other types of shareholder.

/pdf/when-do-german-firms-change-their-dividends-1tntvhh9k4.pdf

Marc Goergen

Papers

Shareholder Wealth Effects of European Domestic and Cross-border Takeover Bids

Insider trading, news releases and ownership concentration

Insider Trading, News Releases, and Ownership Concentration

The impact of board gender composition on dividend payouts

When do German Firms Change Their Dividends