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Bushman’s PhD Seminar Fall 2016
We will look at issues related to causality and the role of theory in empirical research. We will also do a deep dive into textual analysis research, where we will look at cutting edge papers and techniques, and spend a bit of time on the theoretical underpinnings of this research (the theory of LDA and distributional semantics).
The objective of the course is to isolate the outer boundaries of what is known and to find new research ideas on the other side. My gut tells me there is still a lot of money on the table!
Session 1 Friday 14th Nov: 2:30pm to 5:30pm, Room 4015
The role of theory in empirical research
Presentation slides for Athey and Imbens
Slides for Causality & Role of Models
Papers for Class Discussion
Jeremy Bertomeu, Anne Beyer and Daniel J. Taylor (2016), “From Casual to Causal Inference in Accounting Research: The Need for Theoretical Foundations”, Foundations and Trends in Accounting: Vol. 10, No. 2-4, 262–313.
Might want to refer to Verrecchia 1983
The Informational Role of the Media in Private Lending, with Christopher Williams and Regina Wittenberg-Moerman, Forthcoming JAR. The idea is to use this paper as an example from which to discuss the use of theory to motivate an empirical analysis. I want to compare the approach in this paper with the structural modeling as discussed in Bertomeu et al. Question: Could formal equations improve the empirical analysis and enhance our ability to draw causal conclusions?
Additional Materials
James J. Heckman, 2000. Causal Parameters and Policy Analysis in Economics: A Twentieth Century Retrospective. The Quarterly Journal of Economics (2000) 115 (1): 45-97. This is a very interesting discussion of the evolution of econometrics over the last century. Read as much as you can take.
Recommended: Heckman Podcast on Econtalk
Angrist, Joshua D. and Pischke, Jörn-Steffen, The Credibility Revolution in Empirical Economics: How Better Research Design is Taking the Con Out of Econometrics. Journal of Economic Perspectives, Volume 24, Number 2, Spring 2010, 3–30.
Recommended: Angrist Podcast on Econtalk
Econtalk Podcast: Paul Pfleiderer on the Misuse of Economic Models
Econtalk Podcast: Pedro Domingos on Machine Learning and the Master Algorithm
Econtalk Podcast: Noah Smith on Whether Economics is a Science
Econtalk Podcast: Campbell Harvey on Randomness, Skill, and Investment Strategies
Econtalk Podcast: Derman on Theories, Models, and Science
Session 2 Wed 26th Oct: 2:30pm to 5:30pm, Room 4015
Vector Semantics, Competition, Competitive chane & accrual management
Papers for Class Discussion
i. Text-Based Network Industries and Endogenous Product Differentiation , Hoberg & Phillips, Journal of Political Economy, 2016, 124 (5) 1423-1465.
ii. Hoberg, Gerard and Phillips, Gordon M. and Prabhala, Nagpurnanand, Product Market Threats, Payouts, and Financial Flexibility, 2014. Journal of Finance VOL. LXIX, NO. 1 • FEBRUARY 2014
iii. Ball, Christopher and Hoberg, Gerard and Maksimovic, Vojislav, Disclosure, Business Change and Earnings Quality (August 1, 2015). Available at SSRN: https://ssrn.com/abstract=2260371
Additional Materials
Vector Semantics: Dan Jurafsky and James H. Martin, 2016
Latent Dirichlet Allocation, 2003 Blei et al. Journal of Machine Learning Research 3 (2003) 993-1022.
Session 3 Wed 2nd Nov: 2:30pm to 5:30pm, Room 4015
Discuss papers from the JAE Conference to be held on Nov. 4 & 5, 2016
I will ask for volunteers to lead the discussion on a given paper. Presenters should give a 10-15 minute overview of the paper, and then turn to a critical discussion of the paper: Is the research question interesting? Is there something interesting or unique about the data set? Evaluate strengths and weaknesses of the empirical design and analysis. If you were going to ask a question at the JAE Conference, with 100+ people in audience, what would it be? We will only have time to do 4 papers. We will allocate 40 minutes to each paper, so discussion leaders need to cut to the chase pretty quickly. Everyone should read the papers and come armed with ideas.
Session 4 Wed 9th Nov: 2:30pm to 5:30pm, Room 4015
Computational Linguistics: Similarity vs. Uniqueness; Proprietary costs
Hoberg, Gerard and Phillips, Gordon M., Product Market Uniqueness, Organizational Form and Stock Market Valuations (August 31, 2014). Available at SSRN: https://ssrn.com/abstract=2160846
***Hoberg, Gerard and Phillips, Gordon M., Industry Choice and Product Language (March 31, 2015). Available at SSRN: https://ssrn.com/abstract=1858007
***Hoberg, Gerard and Maksimovic, Vojislav, 2015. Redefining Financial Constraints: A Text-Based Analysis. Review of Financial Studies 28 (5), 1312-1352.
Session 5 Wed 16th Nov: 2:30pm to 5:30pm Room 3575
Using text analysis to capture co-movement
Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors, 2012. Monica Billio, Mila Getmansky, Andrew Lo and Loriana Pelizzon, Journal of Financial Economics 104 (2012), 535-559. We will only talk about this paper at a big picture level.
Bank Connectedness: Qualitative and Quantitative Disclosure Similarity and Future Tail Comovement, September 2016. Bushman, Jason Chen and C. Williams.
Hanley , Kathleen Weiss and Hoberg, Gerard, Dynamic Interpretation of Emerging Systemic Risks (September 15, 2016). Available at SSRN: https://ssrn.com/abstract=2792943
Session 6 Wed 30th Nov: 2:30pm to 5:30pm, Room 4015
Computational Linguistics
Rönnqvist, Samuel and Sarlin, Peter, Bank Networks from Text: Interrelations, Centrality and Determinants (January 18, 2016). ECB Working Paper No. 1876. Available at SSRN: https://ssrn.com/abstract=2717326
von Beschwitz, Bastian and Chuprinin, Oleg and Massa, Massimo, Why Do Short Sellers Like Qualitative News? (2015-11-05). FRB International Finance Discussion Paper No. 1149. Available at SSRN: https://ssrn.com/abstract=2686985
\***Frésard, Laurent and Hoberg, Gerard and Phillips, Gordon M., Innovation Activities and the Incentives for Vertical Acquisitions and Integration (February 15, 2016). Available at SSRN: https://ssrn.com/abstract=2242425
Related
Rickard Nyman, UCL, David Gregory, Bank of England, Sujit Kapadia, Bank of England, Paul Ormerod, UCL, David Tuckett, UCL & Robert Smith, UCL,
“News and Narratives in Financial Systems: Exploiting Big Data for Systemic Risk Assessment” Slides
Silvia Gabrieli, Banque de France and Co-Pierre Georg, University of Cape Town, “A Network View of Interbank Liquidity” Slides
Discussant: Andrew Lo, MIT. Slides
Borovkova, Svetlana and Garmaev, Evgeny and Lammers, Philipp and Rustige, Jordi, SenSR: A Sentiment-Based Systemic Risk Indicator (July 7, 2016). Available at SSRN: https://ssrn.com/abstract=2759289
Manela, Asaf and Moreira, Alan, News Implied Volatility and Disaster Concerns (December 17, 2015). Available at SSRN: https://ssrn.com/abstract=2382197
Hoberg, Gerard and Moon, S. Katie, Offshore Activities and Financial vs Operational Hedging (July 30, 2016). Journal of Financial Economics (JFE), Forthcoming. Available at SSRN: https://ssrn.com/abstract=2456323
Session 7 Wed 7th Dec: 2:30pm to 5:30pm, Room 4015
Frankel, Richard M. and Jennings, Jared N. and Lee, Joshua A., JAE 2016. Using Unstructured and Qualitative Disclosures to Explain Accruals.
Bushee, Brian J. and Gow, Ian D. and Taylor, Daniel J., Linguistic Complexity in Firm Disclosures: Obfuscation or Information? (June 2015). Available at SSRN: https://ssrn.com/abstract=2375424 or http://dx.doi.org/10.2139/ssrn.2375424
***Text-implied Risk and the Cross-section of Expected Stock Returns
***Hoberg, Gerard and Phillips, Gordon M., Text-Based Industry Momentum (July 9, 2015). Available at SSRN: https://ssrn.com/abstract=2504738
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