This course has two parts as follows.
Part I: Empirical Methods - Recent Applications
- Introduction to Data Sources for Research in Finance
- International databases: Compustat, CRSP, SDC Securities, M&As, etc.
- Norwegian databases: … (Aksel)
- Hand-collected data…
- Causality and Endogeneity: Omitted variables; Selection bias; Reverse causality; Measurement error
- Instrumental variables (IV)
- Regression discontinuity design (RDD)
- Matching estimators (ME)
- Natural experiments
Part II: How to Develop a Paper in Finance?
In this part, we try to replicate a paper, and discuss the experience and lessons when developing the paper. In particular,
- Ideas and early explorations; empirical observations and implications.
- How did I get coauthors of the project? Why do I invite them? Cooperation among coauthors (data work, design of the tables, writing, intro and abstract)
- Hypotheses development; empirical design; data sources; sample selection; measures and variables; preliminary results; interpretations; endogeneity concerns; steps to address these concerns…
- First draft: motivation, hypothesis, empirical tests, references, tables and figures, other appendix…
- Distribution plan: online posting; conferences; seminars; Issuing as a working paper…
- Comments, inputs, and new ideas and tests; new drafts; changes of the positioning of the paper…
- Submissions: submission strategy; referee reports; etc.