Empirical Research: Tilburg University- STATA Assignment Help

STATA Assignment Help:

Assignment 1 The Purpose Of This Assignment Is To Make You Familiar With Standard Methods Of Conducting Empirical Research. The Assignment Is Related To The Paper: Schneider And Spalt (2016): Why Does Size Matter So Much For Bidder Announcement Returns?, Available At: Https://Papers.Ssrn.Com/Sol3/Papers.Cfm?Abstract_id=2676189 (“SS (2016)”). You Are Expected To Complete The Assignment Using STATA And WRDS. To Get Started, Please Use The Two Files Provided With This Assignment. ? Events.Txt – This Dataset Provides You With Permno (The Unique Firm Identifier Used In CRSP In WRDS) And Event Dates On Takeover Announcements For Deals Involving Public Targets. Note: This Is Similar To, But Different From, The Data Used In The Paper. ? Dealcharacteristics.Dta – This Dataset Provides You With Deal Characteristics For A Given Deal From SDC As Well As Firm Characteristics. It Contains A Permno Identifier Which Allows You To Match The File To The Bidder Announcement Returns You Generate Below. It Also Contains A Gvkey Identifier For The Bidder, Which Allows You To Match The Dataset To Firm Data From The CRSP-Compustat-Matched Database In WRDS In Step (4) Below. Tasks: (1) Go To WRDS ? Event-Study By WRDS ? Daily Event Study: Upload Your Own Events. Use The Events.Txt File To Obtain, For Each Deal In The Dataset, A 3-Day Bidder Announcement Return, Using The Market Model, And Using The Event Window And Estimation Window Length As In SS (2016). Note That You Need To Pick The Right Format For The Event Dates In Step 2. WRDS Provides You With Three Different Output Datasets In .Dta Format. Use The One Labeled “Results At The Security Event Date Level” In The Following (You Do Not Need The Other Ones). Save That File In STATA Format (.Dta). What Is The Average Bidder Announcement Return In Your Sample, And How Many Deals Do You Have In Your Sample? (2) Merge The Dealcharacteristics.Dta Dataset With Your Bidder Announcement Return Dataset Obtained In Step (1). How Many Observations Can You Match? How Many Can You Not Match? (3) Construct The Bidder Size Variable Used In SS (2016) From The CRSP-CompustatMatched Database In WRDS. Be Careful To Follow The Approach In SS (2016). Match That Variable To Your Dataset From Step (2). (4) Based On The Dataset In Step (3), Please Produce The Same Figure As Figure 1, Panel C In SS (2016). Please Disregard The Red Bars. You Need Only Reproduce The Blue Bars. Please Produce The Graph In STATA And Not In Excel. Please Note That “Demeaned Logarithm Of Target Size” Is Defined As Log(Dealvalue) Minus The Average Of Log(Dealvalue) Across All Observations In Your Dataset. (5) Run Two OLS Regressions. Specifically, Please Run Specifications (5) And (6) In Table 5, Panel A, Of SS (2016). Please Do Not Include Year Or Industry Fixed Effect. Otherwise, Please Include All Variables Used In That Table. Please Report The Output In One Table, Using A Format Similar To That In SS (2016). (6) Please Comment Briefly On What The Results In Steps (4) And (5) Above Imply For The Moeller, Schlingemann, And Stulz (2004) Finding That “Smaller Bidders Make Better Acquisitions.” (7) What Is The Problem With The Following Regression Of Bidder Announcement Returns On Bidder Size (BSIZE) And Relative Size (RELSIZE, Defined As Dealvalue/BSIZE) If One Wants To Interpret The Bidder Size Coefficient B? Specifically, What Do You Conclude From A Negative Coefficient B < 0? [Hint: I Do Not Add Control Variables To Make Notation More Convenient. Control Variables Are Thus Not The Issue.] CAR_i = A + B * BSIZE_i + C * RELSIZE_i + E_i In Your Write-Up, Please Adhere To The Following Guidelines. (Failure To Do So Will Result In Point Deductions!): A. You Can Base All Table Layouts And Other Formatting On SS (2016). B. You Can Use Excel To Produce The Final Tables (I.E. Generate The Output In STATA And Then Copy The Numbers Into An Excel File.) C. Please Round Numbers Sensibly. For Example, If We Are Talking About Millions Of Dollars, Writing $1.2 Million Is In Most Cases Much Easier For The Reader To Understand Than $1.1984232 Million. Reporting A Coefficient As 1.34 Is Much Better Than Reporting 1.34123923745. D. Please Produce Figures As Requested In The Questions Above. You Can Base The Figure Layouts On SS (2016). E. Please Use Separate A4 Pages For Each Table And Figure You Produce. No Table Or Figure Should Extend Across Two Pages. F. Every Table And Figure Should Have A Title And A Caption. The Caption Should Contain All Information Usually Presented In Captions In Academic Papers. Your Tables Should Be Formatted So That They Would Be Ready To Be Included In An Academic Publication. G. In Addition, Your Final Write-Up Should Contain Answers To The Questions Above. The Page Limit For These Answers Is Two (2) A4 Pages In Total (So You Should Be Very Concise). H. The Minimum Font Size For Text (The Text For The Questions; Not The Text In Tables) Is 12. I. Provide An Appendix In Which You Show Your Complete STATA Code (Max. 10 Pages – But Ideally You Would Need Much Less). This Code Must Be Accessible To An Outside Reader, I.E. It Should Be Written In A Way That Allows The Outside Reader To Understand The Basic Steps Carried Out In The Code. (As A Reference On The Level Of Detail, You May Use The Programs Provided In Class.) Code That Is Incomprehensible, Not Complete Etc. Will Lead To Point Deductions. J. There Is No Need To Hand In Programs Or Datasets, Initially. However, We Reserve The Right To Ask For Data Or Code After The Hand In Date. If You Are Not Able To Send Programs Or Datasets If Asked To Do So, You Risk Getting Zero Points On The Assignment. Hence, Please Make Sure To Store Your Programs And Datasets Used For This Assignment In A Safe Place. Please Provide A Contact Email Address With Your Write-Up. K. You Are Allowed To Work In Groups Of At Least Two And At Most Three Students. Other Group Sizes Will Not Be Accepted. L. Please Provide ANRs Along With Your Names On The Write-Up. M. The Deadline For Handing In Your Work Is Monday, November 21, 2016 At 14:00. Location: Letter Box In Front Of West Elevators On Floor 9 Of The Koopmans Building (Finance Dept) Marked “EMF Assignment”.