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01 Intro to Econometrics

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Econometrics

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  • Research Processes in Accounting and Finance

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  • TopicsEconometrics as Research Methodology.The Research Process in Accounting and Finance.Writing/ Reading An Empirical Research Paper (Thesis)

  • Example and Usage of ResearchCapital Structure TheoriesStatic trade-offPecking orderMarket timingFree cash flowDynamic trade-off

    Which Capital Structure can be applied in Indonesia?

    How can we prove ?

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  • 1. What Is Econometrics ?What is Econometrics?Literal meaning is measurement in economics.A definition of econometrics:The application of statistical and mathematical techniques to problems in finance and economics.A set of research tools employed in the business disciplines of accounting, finance, marketing and management.

  • Examples of the kind of problems that may be solved by an EconometricianModelling long-term relationships between prices and exchange rates

    Testing the hypothesis that earnings or dividend announcements have no effect on stock prices.

    Testing effects of earnings management to stock return

    Which theory is more reliable among capital structure theories?

  • 2. Research ProcessEconomic or Financial Theory (Previous Studies)Formulation of an Estimable Theoretical Model Collection of Data

    Model Estimation Is the Model Statistically Adequate? No Yes Reformulate Model Interpret Model Use for Analysis

  • 3. Writing an Empirical Research PaperThe following outline for a report is typical:Abstract Statement of the problem Review of the literatureThe economic modelThe dataThe econometric modelThe estimation and inference proceduresThe empirical results and conclusionsPossible extensions and limitations of the studyReferences

  • AbstractAn abstract should include:A concise statement of the problemComments on the information that is available, with one or two key referencesA description of the research design that includesthe economic modelthe econometric estimation and inference methodsdata sourcesestimation, hypothesis testing and prediction procedures, including econometric software versionThe potential contribution of the research

  • Example of Thesis Writing : IntroductionBackground Why my topic is important and interesting? For example : Mutual funds performanceIncrease of people invested in mutual fund in IndonesiaIncrease of total NAB (Net Asset Value) in mutual fundDevelopment of performance measurement for mutual fundResearch questionDoes the mutual fund manager in Indonesia has ability to outperform compare to the market

  • Example of Thesis Writing (cont): Literature reviewDevelopment mutual fund in IndonesiaDevelopment of performance measure for mutual fundsMacro level vs. micro level measureMomentumPrevious researchesMore than 3 previous results (including minimal 1 in three years)Some suggestions for reading articlesHypothesis Development Theoretical reasoning and previous empirical resultsState just alternative hypothesis.

  • 1. Does the paper involve the development of a theoretical model or is it merely a technique looking for an application, or an exercise in data mining?2. Is the data of good quality? Is it from a reliable source? Is the size of the sample sufficiently large for asymptotic theory to be invoked?3. Have the techniques been validly applied? Have diagnostic tests forviolations of been conducted for any assumptions made in the estimation of the model? 4. Have the results been interpreted sensibly? Is the strength of the results exaggerated? Do the results actually address the questions posed by the authors?5. Are the conclusions drawn appropriate given the results, or has the importance of the results of the paper been overstated?Some Points to Consider when reading papers in the academic finance literature

  • Example of Thesis Writing (cont): MethodologyDataSource of data, processes of sampling. Total observation How long data do we need to evaluate the performance of a fund manager?Empirical model Measurement of variableDependent variable / independent variableDiagnostic tests (for example)Heteroskedasticity (why this test is needed?, what is the impact without the test, how do we test (process of the test))Autocorrelation Multicorrelinearity

  • Economic Data TypesThere are 3 types of data which econometricians might use for analysis:1. Time series data2. Cross-sectional data3. Panel data, a combination of 1. & 2.

    The data may be quantitative (e.g. exchange rates, stock prices, number of shares outstanding), or qualitative (e.g. day of the week).

  • Time series dataA time series data set consists of observations on a variable or several variables over time.Ex. Individual stock price of TLKM data from 2010-2011Frequency of the dataYearly, Quarterly, Monthly, Daily, and IntradayQuality vs. Frequency of the dataRecorded asset prices are usually those at which the transaction took place. No possibility for measurement error but financial data are noisy.

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    DateOpenHighLowCloseVolumeAdj Close

    1/9/131457.151464.731457.151461.0236743900001461.02

    1/8/131461.891461.891451.641457.1536016000001457.15

    1/7/131466.471466.471456.621461.8933049700001461.89

    1/4/131459.371467.941458.991466.4734242900001466.47

    1/3/131462.421465.471455.531459.3738297300001459.37

    1/2/131426.191462.431426.191462.4242026000001462.42

    12/31/121402.431426.741398.111426.1932043300001426.19

    12/28/121418.11418.11401.581402.4324266800001402.43

    12/27/121419.831422.81401.81418.128301800001418.1

    12/26/121426.661429.421416.431419.8322850300001419.83

    12/24/121430.151430.151424.661426.6612489600001426.66

    12/21/121443.671443.671422.581430.1552291600001430.15

    12/20/121435.811443.71432.821443.6936865800001443.69

    12/19/121446.791447.751435.81435.8138698000001435.81

    12/18/121430.4714481430.471446.7943022400001446.79

    12/17/121413.541430.671413.541430.3634556100001430.36

    12/14/121419.451419.451411.881413.5832101700001413.58

    12/13/121428.481431.3614161419.4533499600001419.45

    12/12/121427.841438.591426.761428.4837090500001428.48

    12/11/121418.551434.271418.551427.8436502300001427.84

    12/10/121418.071421.641415.641418.5529994300001418.55

    12/7/121413.951420.341410.91418.0731251600001418.07

    12/6/121409.431413.951405.931413.9432297000001413.94

    12/5/121407.051415.561398.231409.2842539200001409.28

    12/4/121409.461413.141403.651407.0532477100001407.05

    12/3/121416.341423.731408.461409.4630742800001409.46

    11/30/121415.951418.861411.631416.1839660000001416.18

    11/29/121409.961419.71409.041415.9533568500001415.95

    11/28/121398.771410.311385.431409.9333592500001409.93

    11/27/121406.291409.011398.031398.9433231200001398.94

    11/26/121409.151409.151397.681406.2929489600001406.29

    11/23/121391.031409.161391.031409.1515049600001409.15

    11/21/121387.791391.251386.391391.0326670900001391.03

    11/20/121386.821389.771377.041387.8132071600001387.81

    11/19/121359.881386.891359.881386.8933748000001386.89

    11/16/121353.361362.031343.351359.8840459100001359.88

    11/15/121355.411360.621348.051353.3339288700001353.33

    11/14/121374.641380.131352.51355.4941095100001355.49

    11/13/121380.031388.811371.391374.5334555500001374.53

    11/12/121379.861384.871377.191380.0325675400001380.03

    11/9/121377.551391.391373.031379.8536473500001379.85

    11/8/121394.531401.231377.511377.5137795200001377.51

    11/7/121428.271428.271388.141394.5343564900001394.53

    11/6/121417.261433.381417.261428.3933069700001428.39

    11/5/121414.021419.91408.131417.2629210400001417.26

    11/2/121427.591434.271412.911414.237324800001414.2

    11/1/121412.21428.351412.21427.5939298900001427.59

    10/31/121410.991418.761405.951412.1635771100001412.16

    10/26/121412.971417.091403.281411.9432849100001411.94

    10/25/121409.741421.121405.141412.9735126400001412.97

    10/24/121413.21420.041407.11408.7533859700001408.75

    10/23/121433.741433.741407.561413.1135876700001413.11

    10/22/121433.211435.461422.061433.8232162200001433.82

    10/19/121457.341457.341429.851433.1938751700001433.19

    10/18/121460.941464.021452.631457.3438800300001457.34

    10/17/121454.221462.21453.351460.9136553200001460.91

    10/16/121440.311455.511440.311454.9235687700001454.92

    10/15/121428.751441.311427.241440.1334838100001440.13

    10/12/121432.841438.431425.531428.5931347500001428.59

    10/11/121432.821443.91432.821432.8436725400001432.84

    10/10/121441.481442.521430.641432.5632250600001432.56

    10/9/121455.91455.91441.181441.4832163200001441.48

    10/8/121460.931460.931453.11455.8823287200001455.88

    10/5/121461.41470.961456.891460.9331729400001460.93

    10/4/121451.081463.141451.081461.436158600001461.4

    10/3/121446.051454.31441.991450.9935316400001450.99

    10/2/121444.991451.521439.011445.7533217900001445.75

    10/1/121440.91457.141440.91444.4935050800001444.49

    9/28/121447.131447.131435.61440.6735092300001440.67

    9/27/121433.361450.21433.361447.1531503300001447.15

    9/26/121441.61441.61430.531433.3235653800001433.32

    9/25/121456.941463.241441.591441.5937399000001441.59

    9/24/121459.761460.721452.061456.8930089200001456.89

    9/21/121460.341467.071459.511460.1548338700001460.15

    9/20/121461.051461.231449.981460.2633825200001460.26

    9/19/121459.51465.151457.881461.0534513600001461.05

    9/18/121461.191461.471456.131459.3233773900001459.32

    9/17/121465.421465.631457.551461.1934824300001461.19

    9/14/121460.071474.511460.071465.7750419900001465.77

    9/13/121436.561463.761435.341459.9946065500001459.99

    9/12/121433.561439.151432.991436.5636412000001436.56

    9/11/121429.131437.761429.131433.5635096300001433.56

    9/10/121437.921438.741428.981429.0832236700001429.08

    9/7/121432.121437.921431.451437.9237176200001437.92

    9/6/121403.741432.121403.741432.1239528700001432.12

    9/5/121404.941408.811401.251403.4433891100001403.44

    9/4/121406.541409.311396.561404.9432003100001404.94

    8/31/121400.071413.091398.961406.5829382500001406.58

    8/30/121410.081410.081397.011399.4825302800001399.48

    8/29/121409.321413.951406.571410.4925712200001410.49

    8/28/121410.441413.631405.591409.326290900001409.3

    8/27/121411.131416.171409.111410.4424725000001410.44

    8/24/121401.991413.461398.041411.1325987900001411.13

    8/23/121413.491413.491400.51402.0830082400001402.08

    8/22/121413.091416.121406.781413.4930626900001413.49

    8/21/121418.131426.681410.861413.1732829500001413.17

    8/20/121417.851418.131412.121418.1327663200001418.13

    8/17/121415.841418.711414.671418.1629229900001418.16

    8/16/121405.571417.441404.151415.5131141000001415.51

    8/15/121403.891407.731401.831405.5326557500001405.53

    8/14/121404.361410.031400.61403.9329309000001403.93

    8/13/121405.871405.871397.321404.1124999900001404.11

    8/10/121402.581405.981395.621405.8727679800001405.87

    8/9/121402.261405.951398.81402.831196100001402.8

    8/8/121401.231404.141396.131402.2232217900001402.22

    8/7/121394.461407.141394.461401.3536824900001401.35

    8/6/121391.041399.631391.041394.2331220500001394.23

    8/3/121365.451394.161365.451390.9937511700001390.99

    8/2/121375.131375.131354.65136541937400001365

    8/1/121379.321385.031373.351375.3244409200001375.32

    7/31/121385.271387.161379.171379.3238215700001379.32

    7/30/121385.941391.741381.371385.332120600001385.3

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    7/17/121353.681365.361345.071363.6735666800001363.67

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    7/12/121341.291341.291325.411334.7636544400001334.76

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    6/7/121316.151329.051312.681314.9942581400001314.99

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    5/30/121331.251331.251310.761313.3235342900001313.32

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    5/21/121295.731316.391295.731315.9937867500001315.99

    5/18/121305.051312.241291.981295.2245124700001295.22

    5/17/121324.821326.361304.861304.8646642800001304.86

    5/16/121330.781341.781324.791324.842804200001324.8

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    4/11/121358.981374.711358.981368.7137430400001368.71

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    3/19/121404.1714141402.431409.7539325700001409.75

    3/16/121402.551405.881401.471404.1751639500001404.17

    3/15/121394.171402.631392.781402.642716500001402.6

    3/14/121395.951399.421389.971394.2845022800001394.28

    3/13/121371.921396.131371.921395.9543864700001395.95

    3/12/121370.781373.041366.691371.0930818700001371.09

    3/9/121365.971374.761365.971370.8736394700001370.87

    3/8/121352.651368.721352.651365.9135430600001365.91

    3/7/121343.391354.851343.391352.6335803800001352.63

    3/6/121363.631363.631340.031343.3641910600001343.36

    3/5/121369.591369.591359.131364.3334294800001364.33

    3/2/121374.091374.531366.421369.6332834900001369.63

    3/1/121365.91376.171365.91374.0939192400001374.09

    2/29/121372.21378.041363.811365.6844823700001365.68

    2/28/121367.561373.091365.971372.1835791200001372.18

    2/27/121365.21371.941354.921367.5936488900001367.59

    2/24/121363.461368.921363.461365.7435053600001365.74

    2/23/121357.531364.241352.281363.4637864500001363.46

    2/22/121362.111362.71355.531357.6636337100001357.66

    2/21/121361.221367.761358.111362.2137952000001362.21

    2/17/121358.061363.41357.241361.2337176400001361.23

    2/16/121342.611359.021341.221358.0441088800001358.04

    2/15/121350.521355.871340.81343.2340803400001343.23

    2/14/121351.31351.31340.831350.538895200001350.5

    2/13/121343.061353.351343.061351.7736180400001351.77

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