Skip to main content
SpringerLink
Log in

Financial Microeconometrics as Research Methodology in Corporate Finance and Accounting

  • Conference paper
  • First Online:
Efficiency in Business and Economics

Part of the book series: Springer Proceedings in Business and Economics ((SPBE))

Abstract

This paper presents the main issues of financial microeconometrics. This field can be considered as a part of financial econometrics, while usually not exposed as such. Typical domains of the methodology of financial microeconometrics include research in empirical corporate finance and applied accounting. This survey-like paper argues that financial microeconometrics research shall be also rooted in wider fields like corporate law, management and finance. Various types of research in financial microeconometrics as well as several methodological issues are examined. A major emphasis is placed on questions of endogeneity, sample selection and treatment effects. Observations on financial microeconometrics literature both in Poland and worldwide are also included.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution

Institutional subscriptions

References

  • Ait-Sahalia Y, Hansen LP (eds) (2010a) Handbook of financial econometrics: tools and techniques, Handbooks in finance, vol 1. Elsevier, Amsterdam

    Google Scholar 

  • Ait-Sahalia Y, Hansen LP (eds) (2010b) Handbook of financial econometrics: applications. Handbooks in finance, vol 2. Elsevier, Amsterdam

    Google Scholar 

  • Angrist JD, Pischke J-S (2010) The credibility revolution in empirical economics: how better research design is taking the con out of econometrics. J Econ Perspect 24(2):3–30

    Article  Google Scholar 

  • Berk J, DeMarzo P (2014) Corporate finance, 4th edn. Pearson, Boston, MA

    Google Scholar 

  • Bofetti S, Urga G (2016) Financial econometrics using Stata. Stata Press, College Station

    Google Scholar 

  • Brennan MJ (ed) (2001) Empirical corporate finance, vol I–IV. Edward Elgar, Cheltenham

    Google Scholar 

  • Damodaran A (2014) Applied corporate finance, 4th edn. Wiley, Hoboken, NJ

    Google Scholar 

  • Eckbo BE (2007, 2008) Handbook of corporate finance: empirical corporate finance, vol 1, vol 2. Elsevier/North-Holland Handbook of Finance Series, Amsterdam/New York

    Google Scholar 

  • 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, Burlington/Amsterdam

    Google Scholar 

  • Fan J, Yao Q (2017) Elements of financial econometrics. Cambridge University Press, Cambridge

    Book  Google Scholar 

  • Gabaix X, Landier A (2008) Why has CEO pay increased so much? Q J Econ 123:49–100

    Article  Google Scholar 

  • Gruszczyński M (2008) Financial econometrics in corporate governance studies. FindEcon. Forecasting financial markets and economic decision-making, vol 1. Łódź University Press, Łódź, pp 11–17

    Google Scholar 

  • Gruszczyński M (2012) Empiryczne finanse przedsiębiorstw. Mikroekonometria finansowa. Difin, Warszawa

    Google Scholar 

  • Lee C-F, Lee JC (eds) (2015) Handbook of financial econometrics and statistics. Springer, New York

    Google Scholar 

  • Panhans MT, Singleton JD (2016) The empirical economist’s toolkit: from models to methods. Center for the History of Political Economy (CHOPE), Working paper no. 2015-03. Available at SSRN: https://ssrn.com/abstract=2611236 or https://doi.org/10.2139/ssrn.2611236. Accessed 22 Mar 2017

  • Roberts MR, Whited TM (2011) Endogeneity in empirical corporate finance. Bradley Policy Research Center, Working paper no. FR11-29

    Google Scholar 

  • Rosenbaum PR, Rubin DB (1983) The central role of the propensity score in observational studies for causal effects. Biometrika 70:41–55

    Article  Google Scholar 

  • Shipman JE, Swanquist QT, Whited RL (2017) Propensity score matching in accounting research. Account Rev 92(1):213–244

    Article  Google Scholar 

  • Tucker JW (2010) Selection bias and econometric remedies in accounting and finance research. J Account Lit 29:31–57

    Google Scholar 

  • Wang P (2009) Financial econometrics, 2nd edn. Routledge, London

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. SGH Warsaw School of Economics, Warsaw, Poland

    Marek Gruszczyński

Authors
  1. Marek Gruszczyński
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Marek Gruszczyński .

Editor information

Editors and Affiliations

  1. Faculty of Computer Science and Management, Wrocław University of Science and Technology, Wrocław, Poland

    Tadeusz Dudycz

  2. Department of Business Economics, Wrocław University of Economics, Wrocław, Poland

    Grażyna Osbert-Pociecha

  3. Faculty of Computer Science and Management, Wrocław University of Science and Technology, Wrocław, Poland

    Bogumiła Brycz

Rights and permissions

Reprints and permissions

Copyright information

© 2018 Springer International Publishing AG

About this paper

Check for updates. Verify currency and authenticity via CrossMark

Cite this paper

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, Cham. https://doi.org/10.1007/978-3-319-68285-3_6

Download citation

Publish with us

Policies and ethics

Search

Navigation