FINANCE REPLICATION PROJECT
Papers
- Baker, Malcolm and Jeffrey Wurgler (2003). "Market Timing and Capital Structure
" in Journal of Finance LVII, 1: 1-32. - Butler, Alex, Gustavo Grullon and James Weston (2005) "Can Managers Forecast Aggregate Market Returns? ", Forthcoming, Journal of Finance
- Kayhan, Ayla and Sheridan Titman (2004). "Firms' Histories and Their Capital Structures ". NBER Working Paper No. w10526 (May)
- Welch, Ivo (2004). "Capital Structure and Stock Returns " in Journal of Political Economy, 112, 1: 106-131.
Training
- Assignment handout [revised July 27, 2004]
- Professor Hagerty's slides on capital structure [July 26, 2004]
- Basic UNIX commands and SFTP (needs revision)
- Data retrieval from CRSP and Compustat using WRDS's server [Updated: July 26, 2004]
Examples used in the document:- Sample tickers
- Example 1 program: Subset Compustat variables for specific tickers
- Example 2 program: Subset Compustat for specific industries (using NAICS classification)
- Example 3 program; Subset CRSP and the quarterly merged CRSP/Compustat
- SAS Programming Skills [Updated: June 18, 2004]
- Introduction to Stata (forthcoming)
Data
- List of IPOs used in Baker and Wurgler
- Jay Ritter's IPO resources
- Marginal tax rates from John R. Graham, Michael L. Lemmon, and James S. Schallheim (1998). "Debt, Leases, Taxes, and the Endogeneity of Corporate Tax Status" Journal of Finance, 53, 1(Feb): 131-162.