Research Seminar "Empirical Corporate Finance"
- To provide the student with proper tools and skills for starting their own research in the area of finance.
- Deal with a number of econometric problems frequently faced in financial research (including Omitted variable problem, Simultaneity, Measurement error, Selection Bias)
- Explain and demonstrate using empirical data the challenges to the efficient market hypothesis
- Explain the nature of biases rooted in data mining and statistical methods
- Work in the method of Event Study
- Formulate his or her own research question
- Prepare the literature review for his or her master thesis
- To formulate research hypotheses
- Choose and apply the proper methods to test the hypotheses
- Know how to do the data-mining in financial and investment sphere
- Topic 1. How to write a research paper in finance. Formal and informal requirements to master theses.Idea search. What to read? How to find the idea and a motivation? How to start writing? Formal and informal requirements to master theses.
- Topic 2. Databases and resources by the HSE library and their use in the studies in corporate finance.
- Topic 3. Econometrics problems in finance & Event study techniques. Madina Karamysheva.
- Topic 4. Multifactor asset pricing models. Victoria Dobrynskaya3- factor Fama-French model, 4-factor Carhart model, 4-factor Fama-French model with global and local factors, liquidity risk factor, 3-moment CAPM with coskewness, 2-beta CAPM with upside and downside betas, downside risk factor, volatility risk factor, 3-factor CAPM with global value and momentum factors, 5-factor Fama-French model. Methodology for testing multifactor models: Fama- MacBeth methodology with constant and time-varying betas, Hansen’s GMM with singular and efficient weighting matrices.
- Topic 5. Financial reporting quality: is fair value a plus or a minus.History of fair value concept. Measurement of fair value under IFRS. Valuation techniques. Specific disclosures required. Determining the fair value of the assets/liabilities in M&A transactions. Determining the fair value of the identifiable intangible assets and contingent liabilities. Calculation of goodwill - positive or negative. Impairment of goodwill - indicators and triggers. The shortcomings of fair-value accounting. Adaptability to fair value accounting in an emerging economy
- Topic 6. The integrated / non-financial reporting of the companies.Integrated reporting as a means of communication with external stakeholders. Stages of development of non-financial reporting: an analysis of existing solutions on the market. Technical approaches and modern tools for non-financial reporting. The problems and risks arising from the preparation of non-financial reports. Audit of non-financial reports.
- Обзор литературыДомашнее задание по тематикам семинаров. Презентации самостоятельных исследований
- Репликация статьиДомашнее задание по тематикам семинаров. Презентации самостоятельных исследований
- Посещение семинаров
- Презентация ВКР (предзащита)
- Interim assessment (2 module)0.3 * Обзор литературы + 0.1 * Посещение семинаров + 0.3 * Презентация ВКР (предзащита) + 0.3 * Репликация статьи
- Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, (1), 1. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.a.eee.jfinec.v116y2015i1p1.22
- Reuter, O. J., & Robertson, G. B. (2012). Subnational Appointments in Authoritarian Regimes: Evidence from Russian Gubernatorial Appointments. Journal of Politics, 74(4), 1023–1037. https://doi.org/10.1017/S0022381612000631
- Kothari, C. R. (2004). Research Methodology : Methods & Techniques (Vol. 2nd rev. ed). New Delhi: New Age International. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=277465