Ects : 6

Enseignant responsable :

• EDITH GINGLINGER
• LUC RENNEBOOG

Volume horaire : 30

Description du contenu de l'enseignement :

Part 1. Prof. Laurent Frésard (mailto:Laurent.fresard@usi.chLaurent.fresard@usi.ch)

 

Course Objectives

The objective of this part of the “ Corporate Finance ” course is to introduce you to key topics in corporate finance through the lens of empirical research. Corporate finance is largely a non-experimental field with lots of data. The nature, scope, and detail of available data continue to expand rapidly. These data are used to generate empirical insights to validate or invalidate existing theories and constitute a basis for further theories. In this class, we will discover central topics and mechanisms in corporate finance by focusing on how researchers have used data and empirical methods to develop novel knowledge that is relevant for the practice of finance. The overall approach in this class is to read and understand (selected) prior empirical work and replicate or extend some of these studies. The topics have been selected to make you work with specific datasets and methods. The primary expertise necessary is the understanding of how to use or manipulate datasets. You will need to appreciate the methods, approaches, and intuition of econometrics including and beyond a first graduate level of econometrics. I will cover some of the underlying approaches in class but our objectives will be different from those of an econometric course. Rather than a formal derivation of the underlying assumptions and tests, we will assess why something works the way it does.

 

Deliverables - Empirical exercises

You will have three exercise sets and a mini project to hand in. They are designed to get you up and running with financial datasets and empirical methods. There is a lot of work going into extracting databases and matching datasets. You should treat this as a permanent lifelong investment and the costs will seem more bearable. You will have to extract data from the relevant source, run the assigned tests, and answer to question I will specify. You will write a short report for each assignment, explaining all your steps and interpreting your results.

 

Course outline and Readings

All chapters and articles marked with an * should be carefully read in advance. As we will discuss these papers in class, not reading makes your attendance almost useless. I will ask questions related to these articles in class.

 

Reading list

for part 1.

• Selected chapters from the Handbook of Corporate Finance: Empirical Corporate Finance. Edited by B. Espen Eckbo: North Holland, 2007. (HCF)
• Cameron, A. Colin, and Pravin Trivedi, 2009, Microeconometrics: Methods and Applications, ISBN-13 #: 978-0-521-84805-3. Published by Cambridge University Press. (CT#1)
• Cameron, A. Colin, and Pravin Trivedi, 2009, Microeconometrics Using STATA, ISBN-13 #: 978-1-59718-048-1. Published by STATA Press. (CT#2)
• Angrist, D. Joshua, and Jorn-Steffen Pischke, 2009, Mostly Harmless Econometrics: An Empiricist ’ s companion. ISBN-978-0-691*12035-5. Princeton University Press. (AP)
• Scott Cunningham, 2021, Causal Inference: The Mixed Tape, ISBN-978-0300251685. Yale University Press. Free online version at: https://mixtape.scunning.com/. (CI)

COURSE

Identification and Causality

• AP, chapter 2
• CI, chapter 4
• Roberts and Whited (2012), section 2
• Bowen, Frésard, and Taillard (2017)*
• Morck and Yeung (2011)
• Leamer (2010)
• Ruhm (2018)
• Ravallion (2020)
• Ackerlof (2020)*

Event studies

• HCF, chapter 1
• Fama, Fisher, Jensen, and Roll (1969)
• Kolari and Pynnonen (2010)
• Khotari and Warner (1997)
• Thomson (1995)
• Ahern and Dittmar (2012)*
• Kogan, Papanikolaou, Seru, and Stoffman (2017)

Instrumental Variables

• CT#1, chapter 4
• CT#2, chapters 6 and 9.2
• AP, chapter 4
• CI, chaper 7
• Roberts and Whited (2012), section 3
• Angrist and Krueger (2001)
• Bennedsen, Nielsen, Perez-Gonzalez, and Wolfenzon (2007)**
• Chaney, Sraer, and Thesmar (2013)**

Difference-in-Differences

• AP, chapter 5, Section 2
• CI, chapter 9
• Bertrand, Duflo, and Mulainathan (2004)
• Giroud (2013)**
• Roberts and Whited (2012), section 4
• Leary (2009)

Regression Discontinuity Design

• *Roberts and Whited (2012), section 5
• *Malenko and Shen (2016)

Textual Analysis

• Gentzkow, Kelly, and Taddy (2019)*
• Frésard, Hoberg, and Phillips (2020)*
• Bowen, Frésard, and Hoberg (2021)*
• Hoberg and Phillips (2010)*
• Hoberg and Maksimovic (2014)

Part 2. Luc Renneboog

 

Part 2, Topic 1. Corporate Social Responsibility and ESG

We will deal with the following questions:

• Why do we see such diversity in CSR levels within and across countries?
• What are the foundations of CSR: legal systems, social preferences, … .
• Are firms that adopt a CSR policy well governed firms or firms that are prone to agency problems? Does CSR create value?
• What is the relation between culture and CSR adoption?
• Does CSR activism generate higher returns?
• Do state-owned corporations impose higher CSR standards or not? And what is the implication for firm value?

Part 2, Topic 2. Dividend Policy / Bond Markets

We will deal wit h the following issues:

• What is a payout policy? Dividends vs share repurchase: main theories.
• How does top management set the dividend policy?
• Do dividend clienteles drive the dividend policy?
• What is a stock dividend? What is an optional stock dividend/ scrip / drip ? Why do an optional stock dividend?

Part 2, Topic 3 Mergers and Acquisitions

 

Part 2, Topic 4. Executive Remuneration Contracting / CEO Characteristics and Corporate Policy

We will deal with the following topics:

• What are the elements of a managerial remuneration contract?
• Are female top managers discriminated?
• Do superstar CEOs generate higher returns?
• CEO narcissicm and corporate decision making

Pré-requis obligatoires :

Introduction to corporate finance

Coefficient : 1

Compétence à acquérir :

The objective of this course is twofold: a. to introduce the student to state of the art econometrics applied in empirical corporate finance (e.g. to address endogeneity issues, to determine an identification strategy), b. to introduce the student to some important topics in the scientific literature on empirical corporate finance. Each class will focus on a single topic and discuss different research designs and econometric approaches.

Mode de contrôle des connaissances :

Part 1. The evaluation for the class consists of the exercise sets (45%) and a written final exam (55%). Part 2. Project

Bibliographie, lectures recommandées

Some Background resources

Michael Roberts and Toni Whited (2013) “ Endogeneity in Empirical Corporate Finance ” , in George Constantinides, Milton Harris, René Stulz (eds) Handbook of the Economics of Finance, vol 2, Amsterdam, North Holland. Joshua Angrist and Steffen Pischke (2008) Mostly Harmless Econometrics, MIT Press.

 

Mandatory readings associated with part 2.

 

1. Corporate social responsibility

- Ferrell, A., Liang. H. and L. Renneboog, 2016, Socially Responsible Firms, Journal of Financial Economics, 122(3), 585-606.

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2464561

- Liang, H. and L. Renneboog, 2017, On the Foundations of Corporate Social Responsibility, Journal of Finance 72 (2), 853-910. Victor and Jaouad

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2360633 : Jaouad + Victor - Flammer, C., 2015, Does Corporate Social Responsibility Lead to Superior Financial Performance? A Regression Discontinuity Approach, Management Science 61, 2549 – 568

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2146282

- (Just Skim in order to familiarize yourself with the law and finance literature; some other papers are below) Djankov, S., La Porta, R., Lopez-de-Silanes, F., Shleifer, A. 2008. The law and economics of self-dealing. Journal of Financial Economics 88, 430-465. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=864645

 

2. Social Responsible Investing

- Barko, T., M. Cremers, and L. Renneboog, 2022, Shareholder Engagement on Environmental, Social, and Governance Performance, Journal of Business Ethics, forthcoming.

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2977219

 

3. Dividend policy / Bond markets

- (Not for class discussion but skim to familiarize yourself with the literature) Survey paper: Farre-Mensa, J., R. Michaely, and M. Schmalz, 2014, Dividend Policy, In Annual Review of Financial Economics, Volume 6, edited by Andrew W. Lo and Robert C. Merton. Palo Alto, CA: Annual Reviews.

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2400618

- Feito-Ruiz, I., L. Renneboog, and C. Vansteenkiste, 2020, Elective Stock and Scrip Dividends, Journal of Corporate Finance 64, 101660.

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3245060

- Crane, A. D., Michenaud, S., & Weston, J., 2016. The effect of institutional ownership on payout policy: Evidence from index thresholds. Review of Financial Studies, 29(6), 1377-1408. Francesco and Wilson

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2102822

- Manconi, A., Neretina, E., & Renneboog, L., 2021. Underwriter Competition and Bargaining Power in the Corporate Bond Market, Working Paper. Ghalia and Dhia

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3098005

 

4. Mergers and acquisitions

- (Not for class discussion but do skim this p aper to get a quick overview of the main topics in the M&A literature related to long-term performance) Renneboog, L. and C. Vansteenkiste, 2019, Failure and Success in Mergers and Acquisitions, Journal of Corporate Finance 58, 650-699. (on ssrn.com, the paper has this title: What goes Wrong in M&As? On the long-run success factors in M&As)

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3304601

(for an overview paper on the past M&A literature but then classified by means of the main takeover waves: see Martynova and Renneboog, JBF, 2008: see recommended readings below) - Martynova, M. and L. Renneboog, 2009, What Determines the Financing Decision in Corporate Takeovers: Cost of Capital, Agency Problems, or the Means of Payment?, Journal of Corporate Finance 15 (3), 290-315.

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=941731

- Servaes, H. and A. Tamayo, 2014, How do industry peers respond to control threats?, Management Science 60, 380 – 399 Armine and Walid

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2283625

- Vansteenkiste C., 2018, Try Before You Buy: How Do Two-Stage Acquisitions Affect M&A Outcomes? Working Paper. Sarah and Jinteng

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3255983

 

5. Executive Remuneration Contracting

/CEO turnover

- Jenter, D., and Kanaan, F. 2015. CEO turnover and relative performance evaluation, Journal of Finance 70.http://papers.ssrn.com/sol3/papers.cfm?abstract_id=885531 : Shu Kai - Geiler, Ph. and L. Renneboog, 2015, Are Female Top Managers Really Paid Less?, Journal of Corporate Finance 35, 345-369. Fatima and Yitu - http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2378762

 

6. CEO Characteristics and Corporate Policy

- Nihat A., E. de Bodt, H. Bollaert, and R. Roll, 2015, CEO Narcissism and the Takeover Process: From Private Initiation to Deal Completion, Journal of Financial and Quantitative Analysis.

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1784322

- Malmendier, U., and G. Tate, 2009, Superstar CEOs, The Quarterly Journal of Economics 124 (4), 1593-1638.

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=972725

 

Adresse du site de l'enseignant : https://www.tilburguniversity.edu/staff/luc-renneboog ; https://people.lu.usi.ch/fresal/