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1、拿起计量经济的武器 Econometrics: Your Weapon李春涛 School of Economics and Finance, the University of Hong Kong Email: chtlecon.hku.hk 计量经济学家林少宫n1944年毕业于中央大学经济系 n1947年到美国，师从Herwicz和Modigliarnin伊利诺伊大学获得经济学博士学位 n任教于俄亥俄州立大学n1954年，他谢绝了当时统计学界、经济学界、数 学界公认的大师霍特林(Hotelling)教授的工作邀请 ，放弃了国外优越的生活条件，毅然返回祖国， 向教育部报到 计量经济学家林少宫
2、n现代经济学一直被视为是“庸俗”的、为资本主义 制度进行诡辩的资产阶级学科，经济学出身的林 老师回国后不能教现代经济学，也就只好被分配 到华中工学院数学教研室从事数理统计的教学和 研究工作n其间钱学森教授曾力邀林老师去北京工作，被爱 才如命的教育家朱九思老校长强留下来n 田国强、艾春荣、时寿勇、宋敏、谭国富、徐殿 庆、方振民、杨小凯、文梅、刘安平、黄晓东等School of InformationnWhat is information？Insider information?n李国宝的朋友梁启雄的女儿梁家安和丈夫王勤兢在4月13日至30日期 间购买41.5万股道琼斯公司股份，价值1500万美
3、元。新闻集团收购意 图公开后，道琼斯股票价格急升58%，王勤兢夫妇所掌 握的股票价 值升至2300万美元，利润高达818万美元。 Rumors？ Fortune or sin?nApril 19, 2007Stock market reaction before macro-data releasenThe (trilogy) film MatrixInformation is data collection and its processing Data miningAttributes of Information nMathematical modeling nData collecti
4、on nComputer science nData mining (Econometrics Methods)What the school has missed?nMore focus on Econometrics?nA econometrics department?Your Merits nSolid background in Mathematics nTrainings in Statistics and Probability theorynIntensive Skills in Computer ProgrammingnSome basic knowledge of Econ
5、omics What the job market is recruiting？nQuantitative analysis for financial industrynEmpirical researchers for social science Opportunities for younFinancial InstitutionsnResearch Assistant nGraduate Program, domestic and abroadnOsama bin Laden RecommendationsnStatisticsnEconometrics nEconomics The
6、orynSoftware nData sourcesOutline nWhat is Econometrics?nWhere to use it?nClassical Econometrics CasesnSoftware IntroductionnDatabases within arms lengthnSuggestions for your thesisThe Emerging of EconometricsnIdeal Theoretical Models: too idealBased on ideal hypothesis Too simple compared with real
7、 worldnMulti-factor in CausalityOwnership may affect firm performanceFirm size, legal environment etc may also have effectsModels cannot be inclusive enoughnTwo-Direction CausalityComplexity in DatanContinuous measured data nDiscrete data nCross-section data nTime-series data nPanel dataWhat is Econ
8、ometrics?nEconometrics is a set of quantitative techniques that are useful for making “economic decisions”neconomic measurementIt is the branch of economics that applies statistical methods and mathematical models to the empirical study of economic theories and relationships InterdisciplinaryMathEco
9、nStatisticsMath. Econ.Math. Stat.Econ. Stat.Econom etricsBack to HerwiczEg1： YSaving XIncomeTypical Econometrics QuestionsEg2： YVote for Demarcates XSocial Economics CharacteristicsWidely Used in Social SciencenCliometrics the railways in the American economy North, the civil war and the end of the
10、Negro Slaveryeconomic historyLaw Researchn中国“命案必破”是否制造了冤假错案？n2004年2月开始，公安部向各地方公安局下达命 令，要求公安部门必须破获一切命案n这个命令没有科学依据n警察不是超人 出动大量的人力物力，造成破案成本上升制造冤假错案n比如，警察找到一个死刑犯，这个人要死了，多顶一个命案的 成本不大，于是就会顶替案件，让真正的罪犯逍遥法外研究方法：n收集某一地区2004年2月前后各1年的涉命 案例n每个死刑犯背负的命案数量为yn每个刑事犯罪分子的基本特征：年龄、性 别、教育程度、职业、收入状况等n时间变量T=1 如果刑犯的审判日期在2004
11、 年2月以后，否则为0Model 如果beta1显著大于0，则说明命令下达以后，平均每个死刑犯的命案数量增加 了，这是冤假错案的信号如果beta7显著大于0,说明命令下达以后,出身为农民的刑事犯罪分子，更可能被 迫顶替命案FinancenOwnership Structure and Firm PerformancenEfficient Market HypothesisnEvent StudynCorporate R&D and Corporate GovernancenLaw and FinancePrincipal-Agent ProblemnSeparation between Own
12、ership and ControlnOwners do not manage the firms directlynProfessional Managers are agent for ownersnWith Information Asymmetry and a lacking of effective monitoring, managers will pursuit self interest at the expense of shareholdersLuxury office and Hotel Beautiful Sectaries Business class Tunneli
13、ng Solution：nInterest Alignmentn理论一：给经理人的股权越多，经理人的 利益与股东的利益越一致(interest alignment hypothesis)n理论二：经理人的股权增加了，经理人的 位置就稳定了，不怕失业了，不怕被人收 购了，所以就不好好工作了（market entrenchment hypothesis）公司委托代理理论n两个理论给出了相反的结论n两个因素可能都存在，但是到底哪一个占优呢n用实证研究来检验：n收集几千家公司的绩效指标和股权结构指标， 用股权结构指标对企业绩效作回归，看系数是 否为正Accounting and AuditingnDe
14、terminants of Audit OpinionnEarnings Informativeness and Market ReactionnEarnings management and firm AttributesEarnings informativeness: Evidence from ChinanCorporate disclose their earnings in their annual reports nOn the disclosing date, market react differently for different earnings and differe
15、nt firms nGenerally speaking, the higher the earnings, the higher the stock price jumpsEarnings informativeness:nOther factors may also affect market reactionsLarge firms react less Risky firms react less strongEtc Earnings informativeness:nThis research test the relationship between market reaction
16、 and audit firm sizenOur theory is that, large audit firms are of higher quality, thus the earnings are more reliable nMarket react stronger for reliable earnings nThus market reaction is positively correlated with audit firm sizeMeasure of Market reactionnEvent studynFirm i released its earnings on date 0AgendaRegression ResultsSoftware nA computer is a computer nIt is designed for computing, not just for chatting nIf
