Doctoral Program. Summer School 2009 HHL. Empirical and Quantitative Methods in Business Research

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Doctoral Program

Summer School 2009

“Empirical and Quantitative Methods in

Business Research”

July 13 - 17, 2009 in Leipzig, Germany

Course Details

Page 1 of 8 Summer School 2009 | HHL

Leipzig | June 12, 2009

Monday, July 13, 2009 | 10.00 – 18.30 p.m. (Lecture 6h | 0 min) Topic: “Empirical Finance”

Module Title Time (min) Source/Materials

I Distributional and Time Series Properties of Financial Returns

90 CLM & Slides, [T, GJ] II 1) 2) Market Microstructure Event Studies I 90 CLM & Slides CLM & Slides III 1) 2) Event Studies II

Empirical Asset Pricing

90 CLM & Slides CLM & Slides, [C, S]

IV 1) 2)

Advanced Risk Management Monte Carlo Methods

90 Slides [MFE, EKM, BO] [G]

Lecturer:

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Mandatory Literature:

Campbell J. Y., Lo A. W., MacKinlay A. C. (1997): The Econometrics of Financial Markets, Princeton University Press, Princeton [CLM]

Additional Literature:

Bluhm C., Overbeck L. (2007): Structured Credit Portfolio Analysis, Baskets and CDOs, Chapman & Hall/CRC, Boca Raton [BO]

Cochrane J. H. (2001): Asset Pricing, Princeton University Press, Princeton []

Embrechts P., Klüppelberg C., Mikosch T. (1997): Modeling Extremal Events for Insurance and Finance, Springer, New York [EKM]

Glasserman P. (2003): Monte Carlo Methods in Financial Engineering, Springer, New York [G]

Gourieroux C., Jasiak J. (2001): Financial Econometrics, Princeton University Press, Princeton [GJ]

McNeil A. J., Frey R., Embrechts P. (2005): Quantitative Risk Management, Princeton, University Press, Princeton [MFE]

Singleton K. J. (2006): Empirical Dynamic Asset Pricing, Princeton University Press, Princeton [S]

Taylor S. J. (2005): Asset Price Dynamics, Volatility, and Prediction, Princeton University Press, Princeton [T]

Course Instructions & Description/Course Preparation:

This is a course on the properties of financial returns. It provides a brief sketch of the varoius methods which are typically applied in empirical finance, but may be useful in other applications as well. As a starting point, a study of Campbell, Lo and MacKinlay (1997) [CLM], Chapters 1-2, and —depending on research interest— Chapter 3, Chapter 4, Chapter 5-6 and 8 or Chapter 7 is very recommended. This book will also form the starting point of the course. All other references given above provide helpful treatments of empirical methods in more specialized areas in finance of which some are dealt with in the course.

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Tuesday, July 14, 2009 | 9.00 a.m. – 12.30 p.m. (Lecture 3h | 0 min) Topic: “Scenario planning in business practice and research”

Module Titel Time (min) Source/Materials

I Scenario planning in business practice

120

I.1. Introduction

I.2. Relevance of scenario planning in times of crisis

I.3 Conducting a scenario analysis II Scenario planning in business

research

60

II.1. Approaches to reasearn on scenario planning

II.2. Scenario planning and strategic decision making – an experimental approach

Lecturer:

Prof. Dr. Torsten Wulf; Dr. Tobias Raffel, Roland Berger Strategy Consultants

Fink, A.; Siebe, A. and Kuhle, J.-P.: How scenarios support strategic early warning processes, in: Foresight, Vol. 6 (2004), pp. 173 – 185.

Roland Berger Strategy Consultants (Hrsg.): Scenario Update April 2009, think: act Content, Hamburg 2009.

This course starts by giving participants an overview of the increased relevance that scenario planning has gained in corporate practice. Then, different approaches to scenario planning are illustrated and participants will have the chance to apply those in a short case study. Afterwards the role of scenario planning in management research is addressed. Different research approaches are discussed. One of these approaches is to analyze the effect of scenario planning on strategic decision making. This approach as well as relevant research methods are outlined in more detail. Course participants are expected to have read the recommended literature.

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Tuesday, July 14, 2009 | 14.00 p.m. – 17.30 p.m. (Lecture 3h | 0 min) Topic: “Analyzing and managing corporate reputation”

Module Titel Time (min) Source/Materials

I Measurement approaches and drivers of corporate reputation

90

II Impact of corporate brands on stakeholder commitment

30

III Implications for corporate reputation management

30

IV Final discussion: Corporate reputation in research and business practice

30

Lecturer:

Prof. Dr. Manfred Kirchgeorg, HHL – Leipzig Graduate School of Management

Prof. Dr. Klaus-Peter Wiedmann, Director of the Institute of Marketing and Management at the Leibniz University Hannover and German Representative of the Reputation Institute, New York et al.

Thomas Wimmer, Partner at Brunswick Group, Berlin

Gray, E.R., Balmer, J.M.T. (1998): Managing Corporate Image and Corporate Reputation, in: Long Range Planning, Vol. 31, No. 5, pp. 695-702.

Wiedmann, K.-P.; Buxel, H. (2005): Corporate Reputation Management in Germany, in: Corporate Reputation Review, Vol. 8, No. 2, pp. 145-163.

Fiedler, L., Kirchgeorg, M. (2007): The Role Concept in Corporate Branding and Stakeholder Management, Reconsidered: Are Stakeholder Groups Really Different?, in: Corporate Reputation Review, Vol. 10, No. 3, pp. 177-188.

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The session on “Analyzing and managing corporate reputation” starts with a discussion on the relevance of corporate reputation within a multi-stakeholder environment. It will be shown, that due to the financial crisis and other critical events companies in some industries are faced with a dramatic erosion of their reputation. Regarding these trends there is a strong need for academic research and business practice to understand the drivers of corporate reputation. Therefore, measurement approaches of corporate reputation and models for analyzing drivers and impact of corporate repuation will be discussed. The second part of the session focusses on the implications for managing corporate repuation. Course participants are expected to have read the recommended literature.

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Wednesday, July 15, 2009 | 10.00 – 18.30 p.m. (Lecture 6h | 0 min) Topic: “Empirical Accounting Research – Day 1”

Module Titel Time (min) Source/Materials

I Accounting Research Methods 90 (Listed below)

II Capital Markets Research In Accounting

90

III JDM Research in Accounting 90

IV Risk and Fair Value 90

Lecturer:

Prof. Leslie Hodder (Ph.D.), Kelley School of Business, Indiana University Prof. Patrick E. Hopkins (Ph.D.), Kelley School of Business, Indiana University

I. Introduction and Classical Accounting Research Framework

Arrington, C.E. and W. Schweiker. “The Rhetoric and Rationality of Accounting Research,” Accounting Organizations and Society 17 (August 1992): 511-533.

Cook, T. and C. Campbell, “Chapter 2: Validity,” Quasi-Experimentation: Design and Analysis Issues for Field Settings, (1979), Boston: Houghton-Mifflin.

Kinney, W.R., “Empirical Accounting Research Design for Ph.D. Students,” The Accounting Review (April 1986): 338-350.

Libby, R., Accounting and Information Processing: Theory and Applications, Prentice-Hall, 1991: 10-16.

II. Accounting Earnings and Stock Prices: Information Perspective and Value-Relevance

Ball, R., and P. Brown, “An Empirical Evaluation of Accounting Income Numbers, “ Journal of Accounting Research (Autumn 1968): 159-178.

Kothari, S., and J. Warner (2005), Econometrics of Event Studies, Handbooks in Finance Series, Elsevier/North-Holland, Chapter 1, 2005.

Bernard, V.L., “The Feltham-Ohlson Framework: Implications for Empiricists,” Contemporary Accounting Research (April 1995): 733-747.

Myers, J. “Implementing Residual Income Valuation with Linear Information Dynamics,” The Accounting Review (Vol. 74), 1999: 1-28.

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III. Judgment and Decision-Making Research in Accounting

Hopkins, P. The effect of financial statement classification of hybrid financial instruments on financial analysts’ stock price judgments. Journal of Accounting Research 34 (Supplement 1996): 33-50.

Libby, R., R. Bloomfield, and M.W. Nelson. “Experimental Research in Financial Accounting” Accounting Organizations and Society 27 (November 2002): 775-810.

McEwen R. A. and J. E. Hunton. Is analyst forecast accuracy associated with accounting information use? Accounting Horizons 13 (March 1999): 1-16.

IV. Risk and Fair Value

Hodder, L., P.E. Hopkins, and J. Wahlen. “Risk-Relevance of Fair Value Income Measures for Commercial Banks.” The Accounting Review. (March 2006): 337-375

Hirst, D.E., and P.E. Hopkins & J.M. Wahlen. “Fair Values, Income Measurement, and Bank Analysts’ Risk and Valuation Judgments.” The Accounting Review (April 2004): 454-472.

Beaver, W., P. Kettler and M. Scholes, “The Association between Market-Determined and Accounting-Determined Measures of Risk.” The Accounting Review (October 1970): 654-682.

This course provides an introduction to accounting research methods. The first module provides an introduction to the philosophy of social science research and important elements of research design, including internal validity, external validity and generalizability. The second module introduces capital markets research with a focus on how accounting information is useful to capital market participants. We will begin with an information perspective: how researchers can determine whether particular accounting data conveys information to market participants. We will then address the value relevance perspective: how accounting can reflect information already impounded in market prices and why this is important to financial statement users. In the third module we will introduce research methods applicable to judgment and decision-making research. We will primarily focus on JDM research as it applies to financial accounting topics. The fourth module will address the special topics of risk and fair value accounting which are particularly relevant in the current economic environment.

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Thursday, July 16, 2009 | 10.00 – 12.30 p.m. (Lecture 3h | 0 min) Topic: “Empirical Accounting Research – Day 2”

Module Titel Time (min) Source/Materials

V Information Credibility 90 (Listed below)

VI Research in Accounting Standard Setting

90

Mandatory Literature: V. Information Credibility

M.D. Beneish, M.B. Billings, and L.D. Hodder. 2008. Internal control weaknesses and information uncertainty. The Accounting Review Vol. 83 (3): 665-704.

Gebhardt, W., C. Lee, and B. Swaminathan, “Toward an Implied Cost of Capital.” Journal of Accounting Research, Vol. 39 (June 2001): 135-176.

Han, J. and HT Tan. 2009. “Investors' Reactions to Management Earnings Guidance: The Joint Effect of Investment Position, News Direction, and News Ambiguity” Unpublished Working Paper: Nanyang Technological University.

Leuz, C., And R. Verrecchia, “The Economic Consequences of Increased Disclosure.” Journal of Accounting Research 38 (Supplement 2000): 91-136.

VI. Accounting and Standard Setting

Hodder, L., Hopkins, P. E., and D. A. Wood. “The Effects of Financial Statement and Informational Complexity on Analysts’ Cash Flow Forecasts. The Accounting Review 83 (July 2008): 915-956

Schipper, K. “The introduction of International Accounting Standards in Europe: Implications for international convergence” European Accounting Review 14 (1 2005): 101-126

Schipper, K. "Academic Accounting Research and the Standard Setting Process." Accounting Horizons 8 (December 1994): 61-73

Schipper, K., and L. Vincent. "Earnings quality." Accounting Horizons 17 (Supplement 2003): 97-110

This course will address characteristics of accounting information. First, we will explore attributes of accounting that cause investors to place greater or lesser weight on information conveyed to the financial markets. In particular, we will see that greater the precision of financial information, the lower the information risk associated with the company. In the second module, we will address how research can inform accounting standard setting, with some discussion of the push for international convergence of accounting standards.