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 Saturday, May 2   ::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::::: Friday, June 5 (DCOB #114) Saturday,
  June 6 (DCOB #114) |     Import data from Excel to Stata: https://www.stata.com/support/faqs/data-management/converting-excel-files/ Using your Windows or Mac computer, 
 https://www.youtube.com/watch?v=iCvZ9pvPy-8 | |
| First Month part I | OLS regression    ·       Chapter
  3, Microeconometrics Using
  Stata Dr. Camerons 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.      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  | 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.  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(*)  or 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 
 *the above Stata code is based on Princeton event study in Stata 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 · Replication of Paper by Chang (briefly) ********************************************************* | Assignment #3: (group project with no more
  than three people) 
 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 - PrincetonAn event study is used to examine reactions of the market to events of interest. A simple event study involves the following steps: Cleaning the data and calculating the event window Calculating abnormal and cumulative abnormal returns 
 | 
| First
  Month part IV | Endogneity
  issue·reading Endogeneity in empirical corporate finance (FYI, on ssrn)
 | No Assignments for this session For class discussion 
 
 *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 
 (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) 
 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) 
 
 Note: the above videos help understand the above replication exercise in stata (FYI only)                             ***** the end of the first month ***** | Assignment #4: 
 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. 
 This
  is an extra credit assignment due with final | 
| Corporate Finance Reading
  Assignments 1.     
  Robert
  Shiller, 2003, From
  efficient markets theory to behavior finance, Journal of Economic
  Perspectives 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) ·        
  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) Optimal capital structure
  video by Dr. Graham (FYI)        
          
  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  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) 
       
    Class video for CEO compensation revisited (2012) 6/6
  morning (newly added)               ·        
  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 ·        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 critique (group work)    # write a synopsis (individual work)   
 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 
 
 Paper:   Corporate Financial Policy and the Value of Cash by
  FAULKENDER and WANG, JF2006 (using long term event study methodology)   Class video for Cash value, 6/6 afternoon (newly
  added) Videos (FYI
  only)      Part
  I        Part
  II         Part
  III          Part
  IV         Part
  V  | Assignment #6:  Due
  date 6/21 Write a synopsis of this article in value of cash (individual
  work) 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. 
 
 FYI Compustat
  Data Description       Sample Data Class video for review of compustat data on 6/6
  afternoon (briefly, newly added) FYI Panel Data Analysis Fixed and Random Effects using Stata
  (v. 4.2)(Princeton) FYI Practical Guides To Panel Data Modeling: A Step by Step
  Analysis Using Stata FYI
  Microeconometrics Using Stata Chapter 18     http://cameron.econ.ucdavis.edu/musbook/mus.html | |
|  
   | ·       Final exam (6/13  6/14) will be
  posted on blackboard under course introduction.  ·       All assignments due on 6/21 | |
|  |