|TitleHas title=Winner's Curse in Acquisitions (Academic Paper)|AuthorHas author=Ed Egan, Jim Brander|Has RAs=Amir Kazempour, Will Cleland, Jake Silberman|StatusHas paper status=R&RPublished
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==WHAT MATTERSSummary==Ed - Review code for distance and triple join
Amir - Literature review This paper finds evidence consistent with a Winner's Curse in the acquisitions of Governance measures privately- Tell Will held firms. This Winner's Curse is aggravated when there are more potential bidders and Jake what to pull/or greater information asymmetries.
Will The paper was accepted for publication in the Quarterly Review of Economics and Finance in February of 2017. ==Dbase Notes== --SDC_TABLE.sql --START AT NEW CODE SDC - Continue cleaning, run SDCv2 -Raw data in SDCBase --No dups SDCV2 --Code and SDCBase through restrict 40216 SDCNo --Build AcqNo SDCA1 --Add previous acqs SDCA2 --Add bin for IT (from SDCwIT) SDCA3 --Add bin for pub/priv (from SDC_test) SDCA4 --Add indu FE (40216) --CRSP_TABLE.sql CRSPFinal --Processed Raw CRSPMain --w/ cusip6 CRSPRelNoInc --Add in the previous code DayNo and lose irrelevant CUSIP EstimationBaseNoDups Estimation1-5 5 --output tables EstimationTotal --THIS IS LIKELY DEPRECATED Competition EventBase --Only SDC relevant CUSIP -3 to +3 ... Flatten1 -- Rn3 to Rp3 and VRn3 to VRp3 Flatter -- Collapse 32109 EstimationOutput --Load it back up 30950 AbnormalReturn1 --Join back to Flatter ABR2 --Abnormal returns (plus momentum) AbRet --CARs 30950 ------------- Turnover --NEEDS REWORKING tobinq -- CPI Below that is supersceeded --GOV_Table and work on triple joinGOVERNANCE_NOTES.txt --Malmendier_tate.sql
Jake - Continue VC Fixed Effect measure
==List of Variables==
*Data dictionary for SDC MA: http://www.edegan.com/repository/DD-ThomsonSDCMA.txt
==Governance_Final Table (Amir)== UPDATE Nov 22, 3:30 pm: All null entries are now stored as 0. Modified SQL codes can be found in GOV_Table- NULL AS ZERO.sql Table Name: governance_final Database: winner Data: ISS (formerly RiskMetrics) - Governance Data Request QUERY saved under 'RiskMetrics' in WRDS Coverage:2007-2015 Summary: SELECT COUNT(*) FROM governance_final; count ------- 40005 (1 row) SELECT COUNT(DISTINCT CUSIP) FROM governance_final; count ------- 2209 (1 row) SELECT COUNT(DISTINCT(CUSIP, year)) FROM governance_final; count ------- 13332 (1 row)
Q) Is CUSIP in RiskMetrics current or historical? How can I use it to merge with CRSP?
A) The Legacy files have the current CUSIP. With each update, WRDS updated the historical data with the latest value. Starting with the new Director and Governance files, we no longer modify the historical data.
To merge any of these datasets with CRSP, you can join on the NCUSIP field. This will match a single Permco (company identifier), but you may still need to select the primary Permno because some companies issue more than 1 security.
Merging EXECUCOMP AND IRRC:
Q) What is the best way to merge Execucomp and IRRC (director and governance) databases? I understand they both have CUSIP, but that matching with CUSIPs isn't always ideal since the CUSIP can change over time for the same firm. A) All Execucomp (CUSIP), IRRC Governance (CN6), and IRRC Directors (CUSIP) CUSIPs are header cusips, in that they reflect the most recent CUSIP that the company has had. There are however 2 main differences between Execucomp's CUSIP and IRRC's CUSIP and CN6:
1. While Execucomp uses 8-digit CUSIP, both IRRC datasets have 6-digit CUSIPs. Therefore, you need to use a SAS function like "substr" to take the first 6-digit of Execucomp CUSIP before merging it to IRRC data. ex: cusip6 = substr(CUSIP,1,6);
2. While header convention reflect "most recent" value of an identifier variables, it is dependent on the date of update of each dataset. Therefore, for CUSIPs that change in between the time that both databases are updated, you might find some discrepancy. To overcome this issue, we recommend that you make use of the CRSP name files (ex: stocknames), that contains all historical CUSIPs that a company has had.