计量经济分析 = Econometric analysis

In both corporate finance and asset pricing empirical work, researchers are often confronted with panel data. In these data sets, the residuals may be correlated across firms and across time, and OLS standard errors can be biased. Historically, the two literatures have used different solutions to this problem. Corporate finance has relied on clustered standard errors, while asset pricing has used the Fama-MacBeth procedure to estimate standard errors. This paper examines the different methods used in the literature and explains when the different methods yield the same (and correct) standard errors and when they diverge. The intent is to provide intuition as to why the different approaches sometimes give different answers and give researchers guidance for their use.

/pdf/estimating-standard-errors-in-finance-panel-data-sets-1rry6mh9tl.pdf

Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches

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.

Offering a unifying theoretical perspective not readily available in any other text, this innovative guide to econometrics uses simple geometrical arguments to develop students' intuitive understanding of basic and advanced topics, emphasizing throughout the practical applications of modern theory and nonlinear techniques of estimation. One theme of the text is the use of artificial regressions for estimation, reference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, serial correlation, heteroscedasticity, and other types of mis-specification. Explaining how estimates can be obtained and tests can be carried out, the authors go beyond a mere algebraic description to one that can be easily translated into the commands of a standard econometric software package. Covering an unprecedented range of problems with a consistent emphasis on those that arise in applied work, this accessible and coherent guide to the most vital topics in econometrics today is indispensable for advanced students of econometrics and students of statistics interested in regression and related topics. It will also suit practising econometricians who want to update their skills. Flexibly designed to accommodate a variety of course levels, it offers both complete coverage of the basic material and separate chapters on areas of specialized interest.

Estimation and Inference in Econometrics

\"What are your assumptions (implicit as well as explicit) about the most effective way to manage people?\" So began Douglas McGregor in this 1960 management classic. It was a seemingly simple question he asked, yet it led to a fundamental revolution in management. Today, with the rise of the global economy, the information revolution, and the growth of knowledge-driven work, McGregor's simple but provocative question continues to resonate-perhaps more powerfully than ever before. Heralded as one of the most important pieces of management literature ever written, a touchstone for scholars and a handbook for practitioners, The Human Side of Enterprise continues to receive the highest accolades nearly half a century after its initial publication. Influencing such major management gurus such as Peter Drucker and Warren Bennis, McGregor's revolutionary Theory Y-which contends that individuals are self-motivated and self-directed-and Theory X-in which employees must be commanded and controlled-has been widely taught in business schools, industrial relations schools, psychology departments, and professional development seminars for over four decades. In this special annotated edition of the worldwide management classic, Joel Cutcher-Gershenfeld, Senior Research Scientist in MIT's Sloan School of Management and Engineering Systems Division, shows us how today's leaders have successfully incorporated McGregor's methods into modern management styles and practices. The added quotes and commentary bring the content right into today's debates and business models. Now more than ever, the timeless wisdom of Douglas McGregor can light the path towards a management style that nurtures leadership capability, creates effective teams, ensures internal alignment, achieves high performance, and cultivates an authentic, value-driven workplace--lessons we all need to learn as we make our way in this brave new world of the 21st century.

The Human Side of Enterprise.

Executive compensation influences managerial risk preferences through executives' portfolio sensitivities to changes in stock prices (delta) and stock return volatility (vega). Large deltas discourage managerial risk-taking, while large vegas encourage risk-taking. Theory suggests that short-maturity debt mitigates agency costs of debt by constraining managerial risk preferences. We posit and find evidence of a negative (positive) relation between CEO portfolio deltas (vegas) and short-maturity debt. We also find that short-maturity debt mitigates the influence of vega- and delta-related incentives on bond yields. Overall, our empirical evidence shows that short-term debt mitigates agency costs of debt arising from compensation risk.

/pdf/executive-compensation-and-the-maturity-structure-of-e20isxvugl.pdf

Executive Compensation and the Maturity Structure of Corporate Debt

https://digitalcommons.unl.edu/cgi/viewcontent.cgi?article=1012&context=financefacpub

Dividend policy, creditor rights, and the agency costs of debt.

The purpose of this study is to investigate the relation between investor protection and firm liquidity. We posit that less protective environments lead to wider bid-ask spreads and thinner depths because they fail to minimize information asymmetries. The Hong Kong equity market provides a unique opportunity to compare liquidity costs across distinct investor protection environments, but still within a common trading mechanism and currency. Our empirical findings verify that firm liquidity is significantly affected by investor protection. Regression and matched-sample results show that Hong Kong-based equities exhibit narrower spreads and thicker depths than their China-based counterparts. THE PURPOSE of this study is to investigate the relation between economy-level investor protection and firm-level liquidity. We posit an inverse relation between the quality of investor protection and the cost of liquidity. A good investor protection environment minimizes information asymmetries and reduces the probability of trading against informed traders. In such an environment, liquidity providers incur relatively low costs and therefore offer narrow bid-ask spreads and thick depths. This is significant because lower liquidity costs have been shown to reduce the firm's cost of capital and increase its market value.l To date, the liquidity hypothesis has been difficult to test empirically because firms operating in distinct investor protection environments also trade on different exchanges, thus complicating the task of isolating investor protection effects from microstructure effects. We overcome this obstacle by holding constant the market structure and allowing investor protection levels to vary. The Hong Kong equity market lists firms from very distinct investor protection environments, but traded in the same market structure. Using the unique features of the Hong Kong market, we test and confirm the hypothesized relation between investor protection and firm liquidity. Recent research demonstrates the importance of an economy's legal system on the quality of its investor protection. A market-oriented legal system reduces in

Paul Brockman

Papers

Executive Compensation and the Maturity Structure of Corporate Debt

Dividend policy, creditor rights, and the agency costs of debt.

Investor Protection and Firm Liquidity

A barrier option framework for corporate security valuation

Managerial timing and corporate liquidity:: evidence from actual share repurchases