Self-Selection Models in Corporate Finance

Handbook of Empirical Corporate Finance SET

Volumn 2, Issue , 2007, Pages 37-86

  Li, Kai ^a   Prabhala, Nagpurnanand R ^b  

^a UNIVERSITY OF BRITISH COLUMBIA   (Canada)

^b UNIVERSITY OF MARYLAND   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84882477852     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1016/B978-0-444-53265-7.50016-0     Document Type: Chapter

References (84)

1. Abadie, A., Imbens, G., 2004. Simple and bias-corrected matching estimators for average treatment effects. Working Paper, Harvard University.
2. Acharya S. A generalized econometric model and tests of a signaling hypothesis with two discrete signals. Journal of Finance 1988, 43:413-429.
3. Acharya S. Value of latent information: Alternative event study methods. Journal of Finance 1993, 48:363-385.
4. Barber B., Lyon J. Detecting abnormal operating performance: The empirical power and specification of test statistics. Journal of Financial Economics 1996, 41:359-400.
5. Barber B., Lyon J. Detecting long-run abnormal stock returns: The empirical power and specification of test statistics. Journal of Financial Economics 1997, 43:341-372.
6. Barber B., Lyon J., Tsai C. Improved methods for tests of long-run abnormal stock returns. Journal of Finance 1999, 54:165-201.
7. Bennedsen, M., Nielsen, K., Perez-Gonzalez, F., Wolfenzon, D., 2006. Inside the family firm: The role of family in succession decisions and performance. Working Paper, New York University.
8. Berger P.G., Ofek E. Diversification's effect on firm value. Journal of Financial Economics 1995, 37:39-65.
9. Bertrand M., Mullainathan S. Enjoying the quiet life? Corporate governance and managerial preferences. Journal of Political Economy 2003, 111:1043-1075.
10. Betton S., Eckbo E., Thorburn K. Takeovers, restructurings, and corporate control. Handbook of Corporate Finance: Empirical Corporate Finance 2007, Vol. 2. Elsevier/North-Holland, Amsterdam, Chapter 15, forthcoming. B.E. Eckbo (Ed.).
11. Bharath, S., 2004. Agency costs, bank specialness and renegotiation. Working Paper, Stephen M. Ross School of Business, University of Michigan.
12. Bohren O., Eckbo B.E., Michalsen D. Why underwrite rights offerings? Some new evidence. Journal of Financial Economics 1997, 46:223-261.
13. Bris A., Zhu N., Welch I. The cost of bankruptcy: Chapter 7 liquidation versus Chapter 11 reorganization. Journal of Finance 2006, 61:1253-1303.
14. Brown S., Goetzmann W., Ross S. Survival. Journal of Finance 1995, 50:853-873.
15. Campa J.M., Kedia S. Explaining the diversification discount. Journal of Finance 2002, 57:1731-1762.
16. Cheng, Y., 2003. Propensity score matching and the new issues puzzle. Working Paper, Florida State University.
17. Chevalier, J., 2000. Why do firms undertake diversifying mergers? An examination of the investment policies of merging firms. Working Paper, Yale School of Management.
18. Chiappori P., Salanie B. Testing for asymmetric information in insurance markets. Journal of Political Economy 2000, 108:56-78.
19. Chib S., Greenberg E. Markov Chain Monte Carlo simulation methods in econometrics. Econometric Theory 1996, 12:409-431.
20. Coase R.H. The nature of the firm. Economica 1933, 4:386-405.
21. Çolak G., Whited T.M. Spin-offs, divestitures, and conglomerate investment. Review of Financial Studies 2005, in press.
22. Dehejia R.H., Wahba S. Casual effects in non-experimental studies: Re-evaluating the evaluation of training programs. Journal of American Statistical Association 1999, 94:1053-1062.
23. Dunbar C.G. The use of warrants as underwriter compensation in initial public offerings. Journal of Financial Economics 1995, 38:59-78.
24. Eckbo B.E. Valuation effects of greenmail prohibitions. Journal of Financial and Quantitative Analysis 1990, 25:491-505.
25. Eckbo B.E. Mergers and the value of antitrust deterrence. Journal of Finance 1992, 47:1005-1029.
26. Eckbo B.E., Maksimovic V., Williams J. Consistent estimation of cross-sectional models in event studies. Review of Financial Studies 1990, 3:343-365.
27. Fama E. Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics 1998, 49:283-306.
28. Fang L.H. Investment bank reputation and the price and quality of underwriting services. Journal of Finance 2005, 60:2729-2761.
29. Gande A., Puri M., Saunders A. Bank entry, competition, and the market for corporate securities underwriting. Journal of Financial Economics 1999, 54:165-195.
30. Gande A., Puri M., Saunders A., Walter I. Bank underwriting of debt securities: Modern evidence. Review of Financial Studies 1997, 10:1175-1202.
31. Gelfand A.E., Smith A.F.M. Sampling based approaches to calculating marginal densities. Journal of American Statistical Association 1990, 85:398-409.
32. Goldberger A. Abnormal selection bias. Studies in Econometrics, Time Series, and Multivariate Statistics 1983, Academic Press, New York. S. Karlin, T. Amemiya, L. Goodman (Eds.).
33. Gompers P.A., Ishii J.L., Metrick A. Corporate governance and equity prices. Quarterly Journal of Economics 2003, 118:107-155.
34. Goyal V.K. Market discipline of bank risk: Evidence from subordinate debt contracts. Journal of Financial Intermediation 2005, 14:318-350.
35. Graham J.R., Lemmon M.L., Wolf J.G. Does corporate diversification destroy value?. Journal of Finance 2002, 57:695-720.
36. Greene W. Sample selection bias as a specification error: Comment. Econometrica 1981, 49:795-798.
37. Greene W. Econometric Analysis 2003, Prentice Hall, New York. 5th edition.
38. Harris M., Raviv A. A sequential signaling model of convertible debt call policy. Journal of Finance 1985, 40:1263-1282.
39. Heckman J.J. Sample selection as a specification error. Econometrica 1979, 47:153-161.
40. Heckman J.J., Ichimura H., Todd P. Matching as an econometric evaluation estimator. Review of Economic Studies 1998, 65:261-294.
41. Heckman J.J., Navarro-Lozano S. Using matching, instrumental variables, and control functions to estimate economic choice models. Review of Economics and Statistics 2004, 86:30-57.
42. Himmelberg C., Hubbard R., Palia D. Understanding the determinants of managerial ownership and the link between ownership and performance. Journal of Financial Economics 1999, 53:353-384.
43. Hubbard R.G., Palia D. Benefits of control, managerial ownership, and the stock returns of acquiring firms. RAND Journal of Economics 1995, 26:782-792.
44. John K., Hotchkiss E., Mooradian R.C., Thorburn K. Bankruptcy and the resolution of financial distress. Handbook of Corporate Finance: Empirical Corporate Finance 2007, Vol. 2. Elsevier/North-Holland, Amsterdam, Chapter 14, forthcoming. B.E. Eckbo (Ed.).
45. Koop G. Bayesian Econometrics 2003, John Wiley & Sons, New York.
46. Kothari S.P., Warner J.B. Measuring long-horizon security price performance. Journal of Financial Economics 1997, 43:301-339.
47. Kothari S.P., Warner J.B. Econometrics of event studies. Handbook of Corporate Finance: Empirical Corporate Finance 2007, Vol. 1. Elsevier/North-Holland, Amsterdam, Chapter 1, this volume. B.E. Eckbo (Ed.).
48. Lang L.H.P., Stulz R.M. Tobin's Q, corporate diversification, and firm performance. Journal of Political Economy 1994, 102:1248-1280.
49. Lee L.F. Generalized econometric models with selectivity. Econometrica 1983, 51:507-512.
50. Li K., McNally W. Open market versus tender offer share repurchases: A conditional event study. Working Paper, Sauder School of Business UBC http://finance.sauder.ubc.ca/~kaili/buyback.pdf.
51. Li K., McNally W. The information content of Canadian open market repurchase announcements. Managerial Finance (A Special Issue on Payout Policy) 2006, in press.
52. Li X., Zhao X. Is there an SEO puzzle?. Journal of Empirical Finance 2006, 13:351-370.
53. Liu, Y., Malatesta, P., 2006. Credit ratings and the pricing of seasoned equity offerings. Working Paper, University of Washington.
54. Ljungqvist A., Marston F., Wilhelm W.J. Competing for securities underwriting mandates: Banking relationships and analyst recommendations. Journal of Finance 2006, 61:301-340.
55. Maddala G.S. Limited-Dependent and Qualitative Variables in Econometrics 1983, Cambridge University Press, Cambridge.
56. Maksimovic V., Phillips G. Do conglomerate firms allocate resources efficiently?. Journal of Finance 2002, 57:721-767.
57. Maksimovic V., Phillips G. Conglomerate firms and internal capital markets. Handbook of Corporate Finance: Empirical Corporate Finance 2007, Vol. 1. Elsevier/North-Holland, Amsterdam, Chapter 8, this volume. B.E. Eckbo (Ed.).
58. Maksimovic V., Unal H. Issue size choice and "underpricing" in thrift mutual-to-stock conversions. Journal of Finance 1993, 48:1659-1692.
59. Murphy K., Topel R. Estimation and inference in two step econometric models. Journal of Business and Economic Statistics 1985, 3:370-379.
60. Nayak S., Prabhala N.R. Disentangling the dividend information in splits: A decomposition using conditional event-study methods. Review of Financial Studies 2001, 14:1083-1116.
61. Newey W., Powell J., Walker J. Semi-parametric estimation of selection models. American Economic Review 1990, 80:324-328.
62. Palia D. The endogeneity of managerial compensation in firm valuation: A solution. Review of Financial Studies 2001, 14:735-764.
63. Poirier D.J. Intermediate Statistics and Econometrics 1995, MIT Press, Cambridge.
64. Prabhala N.R. Conditional methods in event studies and an equilibrium justification for standard event-study procedures. Review of Financial Studies 1997, 10:1-38.
65. Puri M. The long-term default performance of bank underwritten securities issues. Journal of Banking and Finance 1994, 18:397-418.
66. Puri M. Commercial banks in investment banking: Conflict of interest or certification role?. Journal of Financial Economics 1996, 40:373-401.
67. Reisel, N., 2004. On the value of restrictive covenants: An empirical investigation of public bond issues. Working Paper, Rutgers University.
68. Rosenbaum R., Rubin D. The central role of the propensity score in observational studies for causal effects. Biometrika 1983, 70:41-55.
69. Roy A.D. Some thoughts on the distribution of earnings. Oxford Economic Papers 1951, 3:135-146.
70. Schoar A. The effect of diversification on firm productivity. Journal of Finance 2002, 62:2379-2403.
71. Scruggs J.T. Estimating the cross-sectional market response to an endogenous event: Naked vs. underwritten calls of convertible bonds. Journal of Empirical Finance 2006, in press.
72. Servaes H. Do takeover targets overinvest?. Review of Financial Studies 1994, 7:253-277.
73. Servaes H. The value of diversification during the conglomerate merger wave. Journal of Finance 1996, 51:1201-1225.
74. Shehata M. Self-selection bias and the economic consequences of accounting regulation: An application of two-stage switching regression to SFAS No. 2. Accounting Review 1991, 66:768-787.
75. Song W. Competition and coalition among underwriters: The decision to join a syndicate. Journal of Finance 2004, 59:2421-2444.
76. Sørensen M. How smart is smart money? An empirical two-sided matching model of venture capital. Journal of Finance 2005, in press.
77. Staiger D., Stock J.H. Instrumental variables regression with weak instruments. Econometrica 1997, 65:557-586.
78. Tanner M.A., Wong W.H. The calculation of posterior distributions by data augmentation. Journal of the American Statistical Association 1987, 82:528-550.
79. Villalonga B. Does diversification cause the "diversification discount"?. Financial Management 2004, 33:5-27.
80. Villalonga B., Amit R. How do family ownership, control, and management affect firm value?. Journal of Financial Economics 2006, 80:385-417.
81. Vuong Q. Likelihood ratio tests for model selection and non-nested hypotheses. Econometrica 1989, 57:307-333.
82. Wald J., Long M. The effect of state laws on capital structure. Journal of Financial Economics 2006, in press.
83. Wooldridge J. Econometric Analysis of Cross Section and Panel Data 2002, MIT Press, Cambridge.
84. Zhou X. Understanding the determinants of managerial ownership and the link between ownership and performance: Comment. Journal of Financial Economics 2001, 62:559-571.