DBA Class Web Page, Summer '20

Jacksonville University

Instructor: Maggie Foley

Class Materials

Assignments

This is the schedule I have for this weekend:

Friday, May 1
9:00am – 12:00pm 1:30pm – 4:30pm

Saturday, May 2
9:00am – 12:00pm 1:30pm – 4:30pm

:::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::

Friday, June 5 (DCOB #114)
9:00am – 12:00pm 1:30pm – 4:30pm

Saturday, June 6 (DCOB #114)
9:00am – 12:00pm 1:30pm – 4:30pm

Import data from Excel to Stata:

https://www.stata.com/support/faqs/data-management/converting-excel-files/

Using your Windows or Mac computer,

Start Excel.
Enter data in rows and columns or read in a previously saved file.
Highlight the data of interest, and then select Edit and click Copy.
Start Stata and open the Data Editor (type edit at the Stata dot prompt).
Paste data into editor by selecting Edit and clicking Paste.

https://www.youtube.com/watch?v=iCvZ9pvPy-8

First Month part I

OLS regression

· Chapter 3, Microeconometrics Using Stata

Dr. Cameron’s Stata website (FYI)

· ppt

· Dataset

· Stata code (more code and data available under course introduction on blackboard. FYI only)

***********************************************

Friday 5/1 Live session Morning

· Review

· OLS

Friday 5/1 Live session Afternoon

· OLS

· Logit

*************************************************

Assignment #1: (group project with no more than three people)

Run OLS regression on

· a set of bank data as provided and report the results.

Or,

· the data of yours and report the results.

· Or the auto.dta under c:\stata16 folder

Note:

If you use auto.dta, make sure that you create a dummy variable for the origin of the cars.

clear all

cd c:\stata16

use auto.dta

generate origin = foreign ==0

*create a dummy variable for origin; foreign cars and domestic cars would be given "0" and “1”, respectively.

Sample code here FYI

Must include

· Univariate analysis

Command in stata: summarize y x1 x2 x3 x4 x5…

· Correlation matrix

Command in stata: correlate y x1 x2 x3 x4 x5…

· Regression results

Command in stata: regress y x1 x2 x3 x4 x5…

· Post estimation (optional, at the mean of the variables)

Command in stata: predict, yhat xb

Due on 6/5

First Month part II

Logit Model

· Chapter 14, Microeconometrics Using Stata

· ppt

· Dataset

· Stata code

Assignment #2: (group project with no more than three people)

Run Logit regression on

· a set of bank data as provided and report the results.

Or,

· the data of yours and report the results

· Or the auto.dta under c:\stata16 folder

Note:

If you use auto.dta, make sure that you create a dummy variable for the origin of the cars.

clear all

cd c:\stata16

use auto.dta

generate origin = foreign ==0

*create a dummy variable for origin; foreign cars and domestic cars would be given "0" and “1”, respectively.

Sample code here FYI

Must include

· Univariate analysis

Command in stata: summarize y x1 x2 x3 x4 x5…

· Correlation matrix

Command in stata: correlate y x1 x2 x3 x4 x5…

· Logit Model Regression results

Command in stata: logit y x1 x2 x3 x4 x5…

· Marginal Effect results

Command in stata: margins, dydx(*)

mfx // also marginal effect; works the same way

· Robustness Test results

Command in stata: probit y x1 x2 x3 x4 x5…

· Endogneity (optional for extra credits, 2SLS)

Command in stata: ivregress 2sls y x1 x2 x3 (x1= z1 z2 z3), robust

Due on 6/5

*****************************************************************

* Model Comparison (FYI only, comparing logit, probit and clog)

*****************************************************************

First Month part III

Event study

Event study, Chapter 1 (FYI) handbook of Corporate Finance, Volume 1: Empirical Corporate Finance
PPT (we will start from here)
Another paper about Event study (FYI, hard to follow)
Event study stata code

*the above Stata code is based on Princeton event study in Stata

Data
Videos Part I Part II

Results of the [-2, 2] event window

date coef se t pvalue implied

r1 -2 -.00051483 .00192487 -.26746355 .78911228 not significant, no leak

r2 -1 .00172887 .00257575 .67121216 .50208538 not significant, no leak

r3 0 .09930545 .01646514 6.4212434 1.352e-10 significant positive impact

r4 1 .14517278 .01662733 8.7309744 0 significant positive impact

r5 2 .14467892 .01660914 8.7108034 0 significant positive impact

For the above study, please refer to the following to merge the original datasets available at http://dss.princeton.edu

* http://dss.princeton.edu/usingdata/stata/analysis/eventstudy.html

* http://dss.princeton.edu/usingdata/stata/analysis/eventstudydataprep.html

*use http://dss.princeton.edu/sampleData/eventdates.dta /* about 11k */

*save C:\stata16\eventdates.dta

*use http://dss.princeton.edu/sampleData/stockdata.dta, clear /* about 90m

*save C:\stata16\stockdata.dta

* merge two datasets

use C:\stata16\eventdates.dta, clear

drop targetname *file size will be a lot smaller after deleting this variable*

sort company_id *sort so that can merger later*

save eventdate_1, replace

use C:\stata16\stockdata, clear

sort company_id *for merging*

merge company_id using eventdate_1

drop if _merge != 3 *only keep observations with the complete event*

save eventda, replace

**********************************************************

Saturday 5-2 live session morning

· Logit Model

· Event Study

Saturday 5-2 live session afternoon

· Event Study (newly added)

· Endogenity (newly added)

· Replication of Paper by Chang (briefly)

*********************************************************

Assignment #3: (group project with no more than three people)

Change the ranges of dates in this event study template do file, from [-2,2] to [-2, 3], [-2,4] and [-2,5] (You might try a even wider window such as [-2, 20], [-2, 30], etc). Report the results and explain.

Hint: results and graph should be similar to that from [-2,2] event window on the left.

Due on 6/5

****** FYI *

Event Studies with Stata - Princeton

An event study is used to examine reactions of the market to events of interest. A simple event study involves the following steps:

Event study with stata

Cleaning the data and calculating the event window

Estimating normal performance

Calculating abnormal and cumulative abnormal returns

Tsting for significance

Testing across all events

First Month part IV

Endogneity issue

·reading “Endogeneity in empirical corporate finance” (FYI, on ssrn)

PPT (we will start from here)

No Assignments for this session

For class discussion

What is the endogneity issue?

What are the typical solutions to deal with endogneity problem?

*2SLS

*use lagged dependent variable and endogenous variable

*for panel data, use fixed effect and random effect

In our logit model in class exercise, how did we address the endogneity issue?

clear all

use mus14data.dta, clear

generate linc = log(hhincome)

global xlist2 female age age2 educyear married hisp white chronic adl hstatusg

probit ins linc $xlist2, vce(robust) nolog

* Endogenous probit using ivprobit ML estimator

global ivlist2 retire sretire

ivprobit ins $xlist2 (linc = $ivlist2), vce(robust) nolog

* Endogenous probit using ivprobit 2-step estimator

ivprobit ins $xlist2 (linc = $ivlist2), twostep first

* Endogenous probit using ivregress to get 2SLS estimator

*this could used to test endognerity issue

ivregress 2sls ins $xlist2 (linc = $ivlist2), vce(robust) noheader

estat overid

*estat displays scalar- and matrix-valued statistics after estimation;

*it complements predict, which calculates variables after estimation.

* 2SLS estimation; this is a powerful tool to check endogneirity

ivregress 2sls ins $xlist (retire= female sretire seprhi adl), robust

estimates store TSLS_IV4

estimates restore TSLS_IV4 // and then can click on TSLS_IV4 to see results

*F*Y*I o*n*l*y

Video in endogneity lectured By Dr. Michael Roberts, UPenn (excellent)

First Month part V

Replication of Empirical Paper #1

Goal: study how to merge data ,use logit model to test hypotheses, and to do post estimation.
Paper to replicate - governance with multiple firm objectives: evidence from top executive turnover in China
PPT
Ado files that need to be added to the stata16 folder

(pleases download the ado zip file, unzip it, and then add all files to stata16/ado/base folder. Those files are the commands that stata16 typically does not recognize) (copy and paste into a new do file in stata)

Also please download this one Changtab5.ado and add it to the above folder at stata16/ directly, not under ado folder (copy and paste into a new do file in stata)
Code in stata (copy and paste into a new do file in stata)

cd "c:\stata16"

ssc install logout

ssc install winsor

use TurnOver_orig.dta, clear //open the original file

(if receive error message for logout, then manually install logout as well as winsor. We need those ado files. Add them before open the dataset)

Raw data I (under c:\stata16 )
Raw data II (ready to merge with the finance dataset) ((under c:\stata16 )
Financial Data (under c:\stata16 )

Videos Part I -1, Part I-2 (FYI)
Videos Part II (merged data) (FYI only)
Videos part III (logit model) (FYI only)

Note: the above videos help understand the above replication exercise in stata (FYI only)

***** the end of the first month *****

Assignment #4:

Write a synopsis of the article in top executive turnover in China (this is an individual work) Due on 5/31

1) the research question?

2) the contribution of this study?

3) the methodology used in this study?

4) the conclusion?

One to two pages, font size 12 pt.

Do a robustness test based on models other than logit model, such as probit model by changing the logit command to probit, report and analyze the results, and draw a conclusion base on the results based on probit model (optional for extra credits) (group project with no more than three people)

This is an extra credit assignment due with final

Corporate Finance Reading Assignments

Reading list (required)

1. Robert Shiller, 2003, “From efficient markets theory to behavior finance”, Journal of Economic Perspectives

ppt summary

class video for Shiller (2003,) 6/5 Morning (newly added)

2. Jensen, M., and W. Meckling, 1976, “Theory of the firm: managerial behavior, agency costs and ownership structure,” Journal of Financial Economics

· ppt summary (we will start from here)

· ppt summary (brief)

· Interview with Michael Jensen (Part One) - Video – FYI

· Interview with Michael Jensen (Part Two) - Video – FYI

Class video for Jensen & Meckling (1976) Part I, 6/5 morning (newly added)

Class video for Jensen & Meckling (1976) Part II, 6/5 morning (newly added)

3. Modigliani, F., and M. Miller*, 1958, “The cost of capital, corporation finance, and the theory of investment,” American Economic Review 48, 261-297

PPT summary of MM 1958 A Summary by Dr. Cooney (FYI)

Class video for MM (1958) Part I, 6/5 afternoon (newly added)

Class video for MM(1958) part II, 6/5 afternoon (newly added)

4. John R. Graham1,2 and Mark T. Leary*, “A Review of Empirical Capital Structure Research and Directions for the Future” Annual Review of Financial Economics, Vol. 3:309-345 (Volume publication date December 2011)

Ppt summary

Optimal capital structure video by Dr. Graham (FYI)

Class video part I for Graham & Leary (2011), 6/6 morning (newly added)

Class video part II for Graham & Leary (2011), 6/6 morning (newly added)

5. Chhaochharia, Vidhi and Yaniv Grinstein. 2009. CEO Compensation and Board Structure. Journal of Finance

Ppt summary

Class video for C&G (2009), 6/6 morning (newly added)

6. Guthrie, Sokolowsky, and Wan, 2012, CEO Compensation and Board Structure Revisited, Journal of Finance ( https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1680476)

Ppt summary

Class video for CEO compensation revisited (2012) 6/6 morning (newly added)

Reading list (optional)

· John Graham, 2000, “How Big Are the Tax Benefits of Debt?”, THE JOURNAL OF FINANCE

· Miller, M., 1977, “Debt and taxes,” Journal of Finance 32,

· Jensen M., 1986, “Agency costs of free cash flow, corporate finance and takeovers,” American Economic Review

· DeAngelo, H. and Roll, R. (2015), How Stable Are Corporate Capital Structures? (word file here) Journal of Finance

· Myers, S., and N. Majluf, 1984, “Corporate financing and investment decisions when firms have information that investors do not have,” Journal of Financial Economics

· Ross, S., 1977, “The determination of financial structure,” Bell Journal of Economics

· Harris, M., and A. Raviv, 1991, “The theory of capital structure,” Journal of Finance (optional)

· DeAngelo, Harry and Ron Masulis, 1980, “Optimal capital structure under corporate taxes” , Journal of financial economics

· Harris, M., and A. Raviv, 1988, “Corporate governance: voting rights and majority rules,” Journal of Financial Economics

· Adams, Renee, and Daniel Ferreira, 2006, A theory of friendly boards, Journal of Finance

· Core, John E., Robert W. Holthausen, and David F. Larcker, 1999, Corporate governance, CEO compensation, and firm performance, Journal of Financial Economics

Reading list – book chapters (optional)

· Executive compensation, chapter 7 handbook of the economics of corporate governance

· Merger and Acquisition, chapter 5, handbook of the economics of corporate governance

· Capital structure, chapter 13, Christopher Parsons1 and Sheridan Titman, handbook of empirical corporate finance volume 2

· Board, chapter 6, handbook of the economics of corporate governance

· Executive compensation, chapter 7 , handbook of the economics of corporate governance

Assignment #5: Due date 6/21

Write a synopsis of the paper written by Jense (individual work)
Write a synopsis of the paper written by Shiller (individual work)
Choose one of the rest four papers, and

# write a critique (group work)

# write a synopsis (individual work)

Reference 1: the article regarding how to write a critique(for example, does this paper have a problem in endogneity? All social science empirical studies do, to a varying degree!)

When writing a critique paper, the following six parts may be used as a guideline, or as reference.

1. Originality: Does the paper contain new and significant information adequate to justify publication?

2. Relationship to Literature: Does the paper demonstrate an adequate understanding of the relevant literature in the field and cite an appropriate range of literature sources? Is any significant work ignored?

3. Methodology: Is the paper's argument built on an appropriate base of theory, concepts or other ideas? Has the research or equivalent intellectual work on which the paper is based been well designed?

4. Results: Are results presented clearly and analysed appropriately? Do the conclusions adequately tie together the other elements of the paper?

5. Implications for research, practice and/or society: Does the paper identify clearly any implications for research, practice and/or society? Does the paper bridge the gap between theory and practice? How can the research be used in practice (economic and commercial impact), in teaching, to influence public policy, in research (contributing to the body of knowledge)? What is the impact upon society (influencing public attitudes, affecting quality of life)? Are these implications consistent with the findings and conclusions of the paper?

6. Quality of Communication: Does the paper clearly express its case, measured against the technical language of the fields and the expected knowledge of the journal's readership? Has attention been paid to the clarity of expression and readability, such as sentence structure, jargon use, acronyms, etc

Replication of Empirical Paper #2