Lecture notes for "Empirical Methods in Corporate Finance"
Below are the lecture notes for my PhD course on "Empirical Methods in Corporate Finance".
The first half of each 3 hour lecture covers an empirical methodology used in finance, while the second half of each lecture is comprised of students' discussions of three papers that apply the methodology discussed in the previous lecture. The three assigned papers for each topic change from year to year. Feel free to use these notes as a reference, but please provide appropriate acknowledgements.
In that regard, I would like to acknowledge the use of the following sources: (1) Wooldridge's 2010 textbook Econometric Analysis of Cross-Section and Panel Data, (2) Greene's 2011 textbook, Econometric Analysis, (3) Angrist and Pishke's 2009 book, Mostly Harmless Econometrics, (4) Roberts and Whited's 2011 working paper, "Endogeneity in Empirical Corporate Finance," and finally, (5) Michael Robert's PhD lecture notes for the same course in 2010. Complete references can be found in the syllabus and at the start of each lecture.
Please e-mail me if you have any questions or find any errors [which I'm sure there are many]. I also have PowerPoint versions of each lecture; if you would like a PowerPoint copy, please e-mail me.
The first half of each 3 hour lecture covers an empirical methodology used in finance, while the second half of each lecture is comprised of students' discussions of three papers that apply the methodology discussed in the previous lecture. The three assigned papers for each topic change from year to year. Feel free to use these notes as a reference, but please provide appropriate acknowledgements.
In that regard, I would like to acknowledge the use of the following sources: (1) Wooldridge's 2010 textbook Econometric Analysis of Cross-Section and Panel Data, (2) Greene's 2011 textbook, Econometric Analysis, (3) Angrist and Pishke's 2009 book, Mostly Harmless Econometrics, (4) Roberts and Whited's 2011 working paper, "Endogeneity in Empirical Corporate Finance," and finally, (5) Michael Robert's PhD lecture notes for the same course in 2010. Complete references can be found in the syllabus and at the start of each lecture.
Please e-mail me if you have any questions or find any errors [which I'm sure there are many]. I also have PowerPoint versions of each lecture; if you would like a PowerPoint copy, please e-mail me.
# 0 - Introduction
#1 - Linear Regression, Part 1
#2 - Linear Regression, Part 2
#3 - Causality
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#4 - Panel Data
#5 - Instrumental Variables
#6 - Natural Experiment [Part 1]
07 -- Natural Experiment [Part 2]*
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#8 - Regression Discontinuity
#9 - Common Limitations & Errors
#10 - Matching & Selection Models
#11 - Standard Errors & Misc.
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