课程时间：每周一下午2:05-4:30，共14次课，即第3 – 17周
课程地点：经管院A221
模块一：公司金融实证方法
授课人：刘岩；第三周开始，共计5次课
- 金融实证研究的基础问题，课件 [ slides ]
- 外生变动与工具变量回归，课件 [ slides ]
- 固定效应与面板回归，课件 [ slides ]
- 双重差分，课件 [ slides ]
- 断点回归，课件 [ slides ]
参考教材：
- 邱嘉平（2020），《因果推断实用计量方法》，上海财经大学出版社 [ 京东 ]
- Scott Cunningham, Causal Inference: The Mixtape, 2021, Yale University Press [ Website: link ]
指定阅读文献：
- Roberts, M. R., and T. M. Whited. 2013. Endogeneity in Empirical Corporate Finance. Constantinides, G. M., M. Harris, and R. M. Stulz (eds.), Handbook of the Economics of Finance. Oxford: Elsevier. [ pdf ]【主要课程教学内容】
- Kahn, R. J., and T. M. Whited. 2018. Identification Is Not Causality, and Vice Versa. Review of Corporate Finance Studies 7:1–21. [ pdf ]【区分识别与因果推断】
- Mitton, T. 2022a. Methodological Variation in Empirical Corporate Finance. Review of Financial Studies 35:527–575. [ pdf ]【回归调结果问题】
- Mitton, T. 2022b. Economic Significance in Corporate Finance. Review of Corporate Finance Studies forthcoming. [ pdf ]【回归系数经济显著性问题】
- Jiang, W. 2017. Have Instrumental Variables Brought Us Closer to the Truth. Review of Corporate Finance Studies 6:127–140. [ pdf ]【工具变量问题】
- Rajan, R. G., and L. Zingales. 1998. Financial Dependence and Growth. American Economic Review 88:559–586. [ pdf ]【实证研究范例】
- Cameron, A. C., and D. L. Miller. 2015. A Practitioner’s Guide to Cluster-Robust Inference. Journal of Human Resources 50:317–372. [ pdf ]【多元聚类标准误说明】
- Roodman, D. 2009. A Note on the Theme of Too Many Instruments. Oxford Bulletin of Economics and Statistics 71:135–158. [ pdf ]【动态面板GMM应用注意事项】
- Olden, A., and J. Møen. 2022. The Triple Difference Estimator. Econometrics Journal 25:531–553. [ pdf ]【三重差分的识别条件及平行趋势检验】
- Jayaratne, J., and P. E. Strahan. 1996. The Finance-Growth Nexus: Evidence from Bank Branch Deregulation. Quarterly Journal of Economics111:639–670. [ pdf ]【多期DID范例】
- Chen, Ebenstein, Greenstone, and Li. 2013. Evidence on the impact of sustained exposure to air pollution on life expectancy from China’s Huai River policy. PNAS 110(32):12936–12941. [ pdf ]【地理界限RDD范例】
- T. Chen, Y. Huang, C. Lin, and Z. Sheng. 2022. Finance and Firm Volatility: Evidence from Small Business Lending in China. Management Science 68(3):2226-2249. [ pdf ]【评分界限RDD范例】
模块二：实证资产定价与机器学习方法
授课人：李斌；第6次课
模块三：DSGE进阶专题
授课人：刘岩，王胜，熊琛，杨中超；第7-14次课，共8次课，每专题2次课
——DSGE入门：参考熊琛春季学期硕士《动态优化》课程以及经济波动与增长论坛暑期课程（link）
- 开放宏观DSGE模型：王胜
- 金融摩擦与异质性主体模型：熊琛
- 信息冲击与信息摩擦：杨中超
- 中国宏观经济数据、特征与基础DSGE建模：刘岩