Advertisement

Introduction

  • Marek Gruszczyński
Chapter

Abstract

Financial microeconometrics is the application of microeconometric methods in corporate finance and accounting research. This introductory chapter focuses on the place of financial microeconometrics within the framework of corporate finance, accounting, corporate law, financial management, corporate governance, statistical methods, and financial econometrics. Reflections on the theory of corporate finance are complemented by reflections on its data-oriented counterpart—i.e., empirical corporate finance. The final part of the chapter is devoted to issues regarding the samples of microdata used in corporate finance and accounting research.

References

  1. Ait-Sahalia Y, Hansen LP (eds) (2010) Handbook of financial econometrics: tools and techniques, Handbooks in finance, vol 1–2. Elsevier, AmsterdamGoogle Scholar
  2. Amaro de Matos J (2001) Theoretical foundations of corporate finance. Princeton University Press, Princeton, NJGoogle Scholar
  3. Angrist JD, Pischke J-S (2009) Mostly harmless econometrics. Princeton University Press, Princeton, NJCrossRefGoogle Scholar
  4. Angrist JD, Pischke J-S (2015) Mastering ‘metrics: the path from cause to effect. Princeton University Press, Princeton, NJGoogle Scholar
  5. Bofetti S, Urga G (2016) Financial econometrics using Stata. Stata Press, College Station, TXGoogle Scholar
  6. Brennan MJ (ed) (2001) Empirical corporate finance, vol I, II, III, IV. Edward Elgar, CheltenhamGoogle Scholar
  7. Brigham EF, Daves PR (2019) Intermediate financial management, 13th edn. Cengage, Boston, MAGoogle Scholar
  8. Brigham EF, Gapenski LC (1996) Intermediate financial management, 5th edn. Thomson/South Western, OhioGoogle Scholar
  9. Cameron AC, Trivedi PK (2005) Microeconometrics: methods and applications. Cambridge University Press, New YorkCrossRefGoogle Scholar
  10. Cameron AC, Trivedi PK (2010) Microeconometrics using Stata. Revised edition, Stata Press, College Station, TXGoogle Scholar
  11. Damodaran A (2014) Applied corporate finance, 4th edn. Wiley, Hoboken, NJGoogle Scholar
  12. de Jager P (2008) Panel data techniques and accounting research. Meditari Account Res 16(2):53–68CrossRefGoogle Scholar
  13. Degryse H, Kim M, Ongena S (2009) Microeconometrics of banking: methods, applications and results. Oxford University Press, OxfordCrossRefGoogle Scholar
  14. Eckbo BE (ed) (2007) Handbook of corporate finance: empirical corporate finance, North-Holland handbook of finance series, vol 1. Elsevier, AmsterdamGoogle Scholar
  15. Eckbo BE (ed) (2008) Handbook of corporate finance: empirical corporate finance, North-Holland handbook of finance series, vol 2. Elsevier, AmsterdamGoogle Scholar
  16. Eckbo BE (ed) (2010) Corporate takeovers: modern empirical developments, vol. 1: takeover activity, valuation estimates and sources of merger gains, vol. 2: bidding strategies, financing and corporate control. Elsevier/Academic Press, AmsterdamGoogle Scholar
  17. Eckbo BE, Masulis RW, Norli Ø (2007) Security offerings. In: Eckbo BE (ed) Handbook of corporate finance: empirical corporate finance, North-Holland handbook of finance series, vol 1. Elsevier, Amsterdam, pp 233–374CrossRefGoogle Scholar
  18. Fan J, Yao Q (2017) Elements of financial econometrics. Cambridge University Press, CambridgeCrossRefGoogle Scholar
  19. Fernandez P (2017) The equity premium in 150 textbooks. Available at SSRN: https://ssrn.com/abstract=1473225, 10 October 2017
  20. Flannery MJ, Hankins KW (2013) Estimating dynamic panel models in corporate finance. J Corp Finan 19:1–19CrossRefGoogle Scholar
  21. Grinblatt M, Titman S, Hillier D (2011) Financial markets and corporate strategy. 2nd European edn. McGraw-Hill Higher Education, LondonGoogle Scholar
  22. Gruszczyński M (2006) Mikroekonometria finansowa. Zarys problematyki. In: Ronka-Chmielowiec W and Jajuga K (ed) Inwestycje finansowe i ubezpieczenia – tendencje światowe a polski rynek. Prace Naukowe Akademii Ekonomicznej we Wrocławiu, no 1133, Wrocław 2006, pp 111–118Google Scholar
  23. Gruszczyński M (2008) Financial microeconometrics in corporate governance studies. FindEcon. Forecasting financial markets and economic decision-making, no. 6: 11–17. Also available as Gruszczyński M (2010) Financial microeconometrics in corporate governance studies. Working Paper No. 07-10, Department of Applied Econometrics, SGH Warsaw School of EconomicsGoogle Scholar
  24. Gruszczyński M (2009), Book review. In: Espen Eckbo B (ed) Handbook of corporate finance. Empirical corporate finance (2007–2008), Bank i Kredyt, vol. 40. Elsevier North-Holland, Amsterdam, pp 109–117Google Scholar
  25. Gruszczyński M (ed) (2010) Mikroekonometria. Wolters Kluwer, WarszawaGoogle Scholar
  26. Gruszczyński M (2012a) Empiryczne finanse przedsiębiorstw. Mikroekonometria finansowa [Empirical corporate finance. Financial microeconometrics]. Difin, WarszawaGoogle Scholar
  27. Gruszczyński M (ed) (2012b) Mikroekonometria, 2nd edn. Wolters Kluwer, WarszawaGoogle Scholar
  28. Gruszczyński M (2018) Financial microeconometrics as research methodology in corporate finance and accounting. In: Dudycz T, Osbert-Pociecha G, Brycz B (eds) Efficiency in business and economics. Springer proceedings in business and economics. Springer, New York, pp 71–80CrossRefGoogle Scholar
  29. Heckman JJ (2000) Micro data, heterogeneity and the evaluation of public policy: Nobel lecture. J Polit Econ 8(12):2000Google Scholar
  30. Heckman JJ (2001) Micro data, heterogeneity and the evaluation of public policy: part 1. J Polit Econ 109(4):673–748CrossRefGoogle Scholar
  31. Heckman JJ (2004) Micro data, heterogeneity and the evaluation of public policy: part 2. Am Econ 49(1):16–44Google Scholar
  32. Khotari SP, Warner JB (2007) Econometrics of event studies. In: Eckbo BE (ed) Handbook of corporate finance: empirical corporate finance, North-Holland handbook of finance series, vol 1. Elsevier, Amsterdam, pp 3–36CrossRefGoogle Scholar
  33. Lee CF, Lee JC (eds) (2015) Handbook of financial econometrics and statistics. Springer, New YorkGoogle Scholar
  34. Ross SA, Westerfield RW, Jaffe J, Jordan B (2015) Corporate finance, 11th edn. McGraw Hill Irwin, New YorkGoogle Scholar
  35. Stock JH, Watson MW (2019) Introduction to econometrics, 4th edn. Pearson, HarlowGoogle Scholar
  36. Tirole J (2006) The theory of corporate finance. Princeton University Press, Princeton, NJGoogle Scholar
  37. Wang P (2009) Financial econometrics, 2nd edn. Routledge, LondonGoogle Scholar
  38. Winkelmann R, Boes S (2006) Analysis of microdata. Springer, HeidelbergGoogle Scholar
  39. Wooldridge JM (2010) Econometric analysis of cross-section and panel data, 2nd edn. MIT Press, Cambridge, MAGoogle Scholar
  40. Wooldridge JM (2019) Introductory econometrics: a modern approach, 7th edn. Cengage, Boston, MAGoogle Scholar

Copyright information

© Springer Nature Switzerland AG 2020

Authors and Affiliations

  • Marek Gruszczyński
    • 1
  1. 1.Institute of EconometricsSGH Warsaw School of EconomicsWarsawPoland

Personalised recommendations