EMPIRICAL CORPORATE FINANCE (FINC 489)
(Paola Sapienza, Winter 2014)

E-mail: Paola-Sapienza@kellogg.northwestern.edu

Office: Jacobs Center 424

Phone: 847/491-7436

Teaching Assistant: Selwyn Sze Wing Yuen <s-yuen@kellogg.northwestern.edu>

Meeting time: Thursdays 2-5, room 4214.

Review session: Wednesday January 15, 5:00-7:00, room 4214

Description:

The aim of this course is to prepare Ph.D. students to do research in Empirical Corporate Finance. This course strictly relates to the Ph.D. course Corporate Finance (486) (Benmelech and Krishnamurthy) offered in the fall. While 486 is a theory class, Empirical corporate finance focuses on the empirical literature. The scope is to discuss empirical papers that are related to the theories formulated in the corporate finance theory class, but also to help students to develop identification strategies for testing corporate finance hypothesis. The course is organized around published and working papers in the field with an emphasis on the identification problem and solutions. Rather than providing an exhaustive overview of the field, the course focuses in depth on selected topics to illustrate different empirical approaches to the same or related questions. The course requires a good knowledge of the 1st year Ph.D. courses in econometrics and the corporate finance class. It is open to all Ph.D. students. Part of the course will be devoted to teaching how to use the basic databases in Finance (Computstat, CRSP, WRDS databases), including an introduction to UNIX and SAS. Stata knowledge is assumed. Empirical exercises to learn to extract and manipulate those data will be given to the students. At the end of the course, the students will master how to use the most common databases in finance.

Announcements:

There will be a review session the second week of class. Review session is mandatory.

Documents

• Syllabus

Class material (the slides I am discussing in class will be posted only after class)

Introductory slides

Lecture 1 slides

Lecture 2 slides

Lecture 3 slides

Lecture 4 slides

Lecture 5 slides

Lecture 6 slides

Lecture 7

Lecture 8

Lecture 9

Lecture 10

Assignments and data

• Homework 1&2

Resources and other links

• Research computing web page
• Wharton Research Data Services (WRDS)
• What is new in Finance? This paper lists the most cited papers in finance in the past 6 years. The highly cited papers may or not match your perception of what is important or not in finance, and there is a lot of noise (article that “create” new data are obviously cited a lot—but not necessarily the ones that you may want to write). However, it is a measure of visibility and average interest in the finance profession.
• Research on the Economics Job Market. Useful for students planning an academic career.

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