28E34700 - Advanced Econometrics for Finance, Lecture, 3.11.2021-17.12.2021
This course space end date is set to 17.12.2021 Search Courses: 28E34700
Översikt
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Topics: Course practicalities, recap of basic econometrics
Background reading: Soderlind (See Materials) Sections 2, 4, and 5
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Topics: Examples of Endogeneity, instrumental variable (IV) estimation
Useful reference: Roberts & Whited (2012) - Endogeneity in Empirical Corporate Finance Sections 1, 2, 3
IV studies discussed in the lecture:
Bennedsen et al (2007) - Inside the family firm
Becker, (2007) - Geographical segmentation of US capital markets
Giroud et al (2012) - Snow and leverage
Other interesting links:
Some examples of observed correlations that do not imply causation.
TED talk (video): The danger of mixing up causality and correlation
Campbell (2003) - Consumption-based asset pricing
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Topics: Difference-in-differences estimator, fixed effects, clustering standard errors
Useful reference: Roberts & Whited (2012) - Endogeneity in Empirical Corporate Finance Sections 4, 7
Papers discussed in video lecture:Popov & Rogoll (2014) - Financing constraints, employment, and labor compensation
Bhattacharya, Huang, Nielsen (2017) - Haunted houses
Cohn, Nestoriak, Wardlaw (2020) - Private Equity Buyouts and Workplace Safety
Pastor, Stambaugh, Taylor (2017) - Do funds make more when they trade more?
Other interesting readings
Notes on fixed effects
A guide on Clustered standard errors -
Topics: time-series analysis, predictive regressions, autoregressions
Background Reading: Soderlind (2020) Chapters 10 and 11.
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Topics: volatility, distribution of returns
Background reading: Soderlind (2020) Chapter 13, 14, 15
Papers discussed in lecture:
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Topics: The Scientific Outlook in Financial Economics, exam information, course feedback
Background reading:
Presidential Address: The Scientific Outlook in Financial Economics (Campbell Harvey)
PDF and video below
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