Course Format

College of Management,NationalSunYat-SenUniversity

Chinese Course Title / 財務研究方法 / Course Number / D4011004
English Course Title / RESEARCH METHODS IN FINANCE
Class Format / Required / Requirement / none / Department / PhD
Instructor / Aline Chen / Credit / 3
Course Objective
The overall objective of this course is to prepare the PhD students to do credible research in finance, especially in the field of empirical methodologies. This course focuses on background materials and seminal papers in the core areas of finance which are then followed up by more recent papers. For each paper covered in this course, one student will be assigned to present the paper and another will be assigned to comment on the paper. Students who are not assigned to present or to comment the paper have to prepare a referee report on the paper.
Course Outline
Econometrics
Asset pricing
Event studies
Corporate financ
Teaching Format
Students are asked to present course materials.
Office Hours:
Tuesdays 14:00-16:00
Wednesdays 14:00-16:00
Grading Standard
1) class presentation 50%, 2) homework 20%, 3) research project 30%
Reference/Text
Reading list:
1. Gujarati (1995), Chapters 1, 10, 11, 12, 13
2. Gujarati (1995), Chapters 15, 16, 18, 21
3. Fama, E. and J. MacBeth, 1973, Risk, return and equilibrium: Empirical tests, Journal of Political Economy 81, 607-636.
4. Fama, E and K. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics, 33, 3-56.
5. Kao, L., J. Chiou and A. Chen (2004), The agency problems, firm performance and monitoring mechanisms: The evidence from collateralized shares in Taiwan, Corporate Governance: An International Review, 12 (3), 389-402.
6. Carhart, M. M., 1997, On persistence in mutual fund performance, Journal of Finance 52, 57-82.
7. Morck, R., A. Shleifer and R. W. Vishny, 1988, Management ownership and market valuation: An empirical analysis, Journal of Financial Economics 20, 293-315.
8. Demsetz, H. and B. Villalonga, 2001, Ownership structure and corporate performance, Journal of Corporate Finance 7, 209-233.
9. Amihud, Y., S. Hauser and A. Kirsh, 2003, Allocations, adverse selection, and cascades in IPOs: Evidence from the Tel Aviv Stock Exchange, Journal of Financial Economics 68, 137-158.
10. Titman, S. and R. Wessels, 1988, The determinants of capital structure choice, Journal of Finance 43 (1), 1-19.
11. Daniel, K. and S. Titman, 1997, Evidence on the characteristics of cross sectional variation in stock returns, Journal of Finance, 52, 1-33.
12. Eberhart, A., W. F. Maxwell and A. R. Siddique, 2004, An Examination of Long-Term Abnormal Stock Returns and Operating Performance Following R&D Increases, Journal of Finance, 59 (2), 623-650.
13. Schultz, P., 2003, Pseudo Market Timing and the Long-Run Underperformance of IPOs, Journal of Finance 58 (2), 483-517.
14. Goyal, A. and P. Santa-Clara, 2003, Idiosyncratic Risk Matters!, Journal of Finance 58 (3), 975-1007.
15. Byun, J. and M. S. Rozeff, 2003, Long-run Performance after Stock Splits: 1927 to 1996, Journal of Finance 58 (3), 1063-1085.
16. Baker, M. and J. Wurgler, 2002, Market Timing and Capital Structure, Journal of Finance 57 (1), 1-32.
17. Cao, C., L. C. Field, and G. Hanka, 2004, Does Insider Trading Impair Market Liquidity? Evidence from IPO Lockup Expirations, Journal of Financial and Quantitative Analysis 39 (1), 24-46.
18. Mola, S. and T. Loughran, 2004, Discounting and Clustering in Seasoned Equity Offering Prices, Journal of Financial and Quantitative Analysis 39 (1), 1-23.
19. 陳安琳 (2002), 台灣股票報酬之穩定因素－交叉確認、因素分析與模擬分析, 管理學報, 19 (3): 519-542.
20. Kahle, Kathleen M. (2002), When a buyback isn’t a buyback: open market repurchases and employee options, Journal of Financial Economics 63 (2), pp. 235-261.
21. Kroszner, Randall S. and Philip Strahan (2001), Bankers on boards: monitoring, conflicts of interest, and lender liability, Journal of Financial Economics 62 (3), pp. 415-452
22. Brockman, Paul and Dennis Y. Chung (2001), Managerial timing and corporate liquidity: evidence from actual share repurchases, Journal of Financial Economics 61 (3), pp. 417-448
23. Chordia, Tarun, Avanidhar Subrahmanyam, and V. Ravi Anshuman (2001), Trading activity and expected stock returns, Journal of Financial Economics 59 (1), pp. 3-32
24. Engle, R. (2001), Financial econometrics: A new discipline with new methods, Journal of Econometrics, 100, 53-56.
25. Bollerslev, T. (2001), Financial econometrics: Past developments and future challenges, Journal of Econometrics, 100, 41-51.
26. 陳安琳 (1999), 系統風險變動下新上市公司股票的長期報酬行為－遞迴迴歸之應用, 管理(科學)學報, 16: 535-556
27. 陳安琳、李文智、林宗源 (1999), 新上市公司股票之發行折價－代理成本與公司控制之研究, 中國財務學刊, 6: 1-23
28. Aboody, D and B. Lev (2000), Information asymmetry, R&D and insider gains, Journal of Finance, 55, 2747-2766
29. Chaplinsky, S. and L. Ramchand (2000), The impact of global equity offerings, Journal of Finance, 55, 2767-2790
30. Aggarwal, R. and P. Conroy (2000), Price discovery in initial public offerings and the role of the lead underwriter, Journal of Finance, 55, 2903-2922
31. Lee, C. and B. Swaminathan (2000), Price momentum and trading volume, Journal of Finance, 55, 2017-2070
32. Baker, M and J. Wurgler (2000), The equity share in new issues and aggregate stock returns, Journal of Finance, 55, 2219-2258
33. Wermer, R. (2000), Mutual fund performance: An empirical decomposition into stock-picking talent, style, transaction costs and expenses, Journal of Finance, 55, 1655-1704
34. Barber, B. and T. Odean (2000), Trading is hazardous to your wealth: The common stock investment performance of individual investors, Journal of Finance, 55, 773-806
35. Davis, J., E. Fama and K. French (2000), Characteristics, covariances and average returns: 1929-1997, Journal of Finance, 55, 389-406
36. Chan, K. C., N. Jegadeesh, and J. Lakonishok, 1996, Momentum strategies, Journal of Finance, 51, 1681-1713.
37. Chan, K. C., Y. Hamao and J. Lakonishok, 1991, Fundamentals and stock returns in Japan, Journal of Finance, 46, 1739-1764
38. Daniel, K. and S. Titman, 1997, Evidence on the characteristics of cross sectional variation in stock returns, Journal of Finance, 52, 1-33.
39. Daniel, K. and S. Titman, 1998, Characteristics or covariances?, Journal of Portfolio Management, 24, 24-33.
40. Fama, E and K. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics, 33, 3-56.
41. Elton, E. (1999), Presidential address: Expected return, realized return and asset pricing tests, Journal of Finance, 54, 1199-1220
42. Chevalier, J. and G. Ellison (1999), Are some mutual fund managers better than others? Cross-sectional patterns in behavior and performance, Journal of Finance, 54, 875-900
43. Zheng, L. (1999), Is money smart? A study of mutual fund investors’ fund selection ability, Journal of Finance, 54, 901-934
44. Grauer, R. (1999), On the cross-sectional relation between expected returns, betas and size, Journal of Finance, 54, 773-790
45. Fama Eugene F., Market efficiency, long-term returns, and behavioral finance, Journal of Financial Economics, 49, 283-306
46. Wermers, R. (1999), Mutual fund herding and the impact on stock price, Journal of Finance, 54, 581-622
47. Ibbotson, R. G., 1975, Price performance of common stock new issues, Journal of Financial Economics, 2, 235-272.
48. Kim, M. and J. Ritter, 1999, Valuing IPOs, Journal of Financial Economics, 53, 409-437.
49. Jegadeesh, N., M. Weinstein and I. Welch, 1993, An empirical investigation of IPO returns and subsequent equity offerings, Journal of Financial Economics, 34, 153-175.
50. Carter, R. B. and S. Manaster, 1990, Initial public offerings and underwriter reputation, Journal of Finance, 45, 1045-1067.
51. Stoughton, N. M. and J. Zechner, 1998, IPO-mechanisms, monitoring and ownership structure, Journal of Financial Economics, 49, 45-77.
52. Ritter, J. R., 1991, The long-run performance of initial public offerings, Journal of Finance, 46, 3-27.
53. Loughran, T. and J. Ritter, 1995, The new issue puzzle, Journal of Finance, 50, 23-51
54. Teoh, S. H., I. Welch and T. J. Wong, 1998, Earnings management and the underperformance of seasoned equity offerings, Journal of Financial Economics, 50, 63-99.
55. Ruud, J. S. 1993, Underwriter price support and the IPO underpricing puzzle, Journal of Financial Economics, 34, 135-151.
56. Chen, A. and J. F. Cotter, 1996, The role of underwriter reputation in the stabilization of initial public offerings, Working paper, University of Iowa.
57. Seguin, P.J. and M. M. Smoller, 1997, Share price and mortality: An empirical evaluation of newly listed Nasdaq stocks, Journal of Financial Economics, 45, 333-363
Course content/ Progress / Documents
1. Welcome to empirical finance
2. Gujarati (1995), Chapters 1, 10, 11, 12, 13
3. Gujarati (1995), Chapters 15, 16, 18, 21
4. Fama, E. and J. MacBeth, 1973, Risk, return and equilibrium: Empirical tests, Journal of Political Economy 81, 607-636.
5. Fama, E and K. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics, 33, 3-56.
6. Kao, L., J. Chiou and A. Chen (2004), The agency problems, firm performance and monitoring mechanisms: The evidence from collateralized shares in Taiwan, Corporate Governance: An International Review, 12 (3), 389-402.
7. Carhart, M. M., 1997, On persistence in mutual fund performance, Journal of Finance 52, 57-82.
8. midterm
9. Morck, R., A. Shleifer and R. W. Vishny, 1988, Management ownership and market valuation: An empirical analysis, Journal of Financial Economics 20, 293-315.
10. Demsetz, H. and B. Villalonga, 2001, Ownership structure and corporate performance, Journal of Corporate Finance 7, 209-233.
11. Amihud, Y., S. Hauser and A. Kirsh, 2003, Allocations, adverse selection, and cascades in IPOs: Evidence from the Tel Aviv Stock Exchange, Journal of Financial Economics 68, 137-158.
12. Titman, S. and R. Wessels, 1988, The determinants of capital structure choice, Journal of Finance 43 (1), 1-19.
13. Binder, J, 1998, The Event Study Methodology Since 1969, Review of Quantitative Finance and Accounting 11 (2), 111-137.
14. Chan, K. C., N. Jegadeesh, and J. Lakonishok, 1996, Momentum strategies, Journal of Finance, 51, 1681-1713.
15. Loughran, T. and J. R. Ritter, 1995, The new issue puzzle, Journal of Finance 50, 23-51.
16. Peterson, M., 2008, Estimating standard errors in finance panel data sets: Comparing approaches, Review of Financial Studies.
17. Baker, M. and J. Wurgler (2004), A catering theory of dividends, Journal of Finance 59(3), pp. 1125-1165.
18. final