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CEO Compensation and Returns to Public and Private Acquisitions: Testing the Shareholder Value Hypothesis (view source)
Revision as of 15:10, 20 February 2021
, 15:10, 20 February 2021→New Measures
*Where is the correlation matrix? It must be presented and its coefficients analysed.
*Finally, there is another problem in the work of these authors and the main objective of the paper and the fact that the authors want to understand the difference between so-called public and private acquisitions. At the beginning of the development of the empirical work the authors must demonstrate to us that in fact the two subsamples are different in terms of the variables that will be studied. Thus, differences tests should be performed and reported to these two subsamples, only by so that it will make sense to perform all the empirical work later.
===Build Notes===
I started a new database called [[wrds]] for the major pulls.
===Ed To Do===
*MA activity 2016 to 2020
*Take a look at the dynamic panel
Note see also: [[Governance Measures]]
====New Measures====
From Thomson-Reuters 13F filings (joined using CUSIP8 and year, where available):
*iisharestot -- Total number of shares held by institutional investors
*iisharestop5 -- Number of shares held by the five largest institutional investors
*iitop5prop -- Proportion of shares held by the five largest institutional investors compared to all institutional investors
*iicount -- Number institutional investors
*blocktot -- Number of blockholders (institutional investors with >= 5% of shares)
From COMPUSTAT Fundamentals Annual (joined using CUSIP8 and year, where available):
*gp -- gross profit
*ni -- net income
*gpr -- gross profit ratio
*npr -- net profit ratio
*csho -- number of shares outstanding (in millions)
*revt -- revenue (note that this replaces the old revt variable)
*roa -- return on assets (ebitda/totalassets)
*leverage -- total liabilities/total assets
*totalassets -- same as the old at variable but from a new pull
*interlock -- 1/0 CEO is on compensation committee
*mktcap -- Market Capitalization calculated as closing price (prcc_c) x common shares outstanding (csho)
Thomson-Reuters 13F filings in conjunction with COMPUSTAT Fundamentals Annual (joined using CUSIP8 and year, where both available):
*iifractot -- fraction of shares held by institutional investors
*iifractop5 -- fraction of shares held by top 5 institutional investors
====Old Governance Measures====
The following governance measures are listed under firm variables below:
agovgoldenparachute - 0/1 for the CEO has a golden parachute (many missing)
agovlimitabilityactbywritconsent - 0/1 whether governance has limited shareholders ability to act by written consent (many missing)
agovmajvoterequirement - 0/1 for whether board members are elected on majority or plurality, which matters for uncontested seats (many missing)
agovresignrequiredonmajorityvote - 0/1 "Indicates that a director is required to submit his/her resignation upon failing to receive support from a majority of votes cast (which, typically, the board may chose to accept or reject)." (many missing)
I tried each of them in a FE panel regression of the type found in table 3, like:
areg tdc116l car5totpub car5totpriv agovresignrequiredonmajorityvote i.year, absorb(ceofirmid) cluster(ceofirmid)
In each case, the sample dropped to ~2k (from 41k), and there was no significance for ANY variable.
=====Reference Papers and their data=====
Hartzell Starks (2000) - Institutional Investors and Executive Compensation:
*we obtain institutional equity holdings for each year between December 1991 and December 1996 from the CDA Spectrum database. CDA Spectrum derives these holdings from institutional investors’ 13-f filings. (Institutional investors with more than $100 million in equities must report their equity ownership to the SEC in quarterly 13-f filings)
*Measures: We measure total institutional ownership as the fraction of shares outstanding owned by institutions. This measure should primarily capture indirect institutional monitoring, although it may also reflect some direct monitoring. Our second measure of institutional investor influence, the concentration of institutional ownership, is designed to capture the direct institutional monitoring. It is calculated as the proportion of the institutional investor ownership accounted for by the top five institutional investors in the firm.
David Kochhar Levitas (1998) - The effect of institutional investors on the level and mix of CEO compensation:
*Money Market Directory, Moody's Bank and Finance Manual, Nelson's Directory of Investment Managers
*Percent of ownership (of II) by type
*Blockholders (shareholders with greater than 5%) provide better governance (indicator variable)
Bebchuk Cohen Hirst (2017) - The Agency Problems of Institutional Investors:
*References data from FactSet Ownership database
Lewellen (2011) - Institutional investors and the limits of arbitrage:
*The CDA/Spectrum database is compiled from institutions’ 13F filings with the Securities and Exchange Commission (SEC).
*according to quarterly 13F filings compiled by Thomson Financial... though not exclusively [see the Wharton Research Data
Services (WRDS) User Guide for details].
*Measures are N/A (wrong perspective)
Bloom Klein (2012) - Institutional Investors and Stock Market Liquidity:
*Any financial institution exercising discretionary management of investment portfolios over $100 million in qualified securities is required to report those holdings quarterly to the SEC using Form 13F. Qualified securities include stocks listed for trading in the US, among other securities. These filings, compiled quarterly by Thomson/CDA and available through Wharton Research Data Services (WRDS), are the source of the stock holdings used in this study for the period 1980 to 2010.
*Two measures of institutional stock ownership – the percentage of a stock owned by institutions and the number of institutions that own the stock
=====Looking inside WRDS=====
Datasets:
*Thomson Reuters Institutional (13f) Holdings - Type 3: Stock Holdings: https://wrds-web.wharton.upenn.edu/wrds//ds/tfn/types/s34type3/index.cfm
**Keys: CUSIP (of holdings), manager number (of reporting institution), file date. Covers up 1980-2020.
**Variables: Shares and their types and voting rights
*Thomson Reuters Institutional (13f) Holdings - s34 Master File: https://wrds-web.wharton.upenn.edu/wrds//ds/tfn/sp34/index.cfm
**See above. This is the more general dataset
*Blockholders' data is reported by firm for the period 1996-2001: https://wrds-www.wharton.upenn.edu/pages/get-data/blockholders/
I used the first one. See [[wrds]] for the preprocessing.
===Restoring the old data===
acqi - current income from acquisitions in CSTAT
acq - cost of acquisitions from CSTAT
agovgoldenparachute - 0/1 for the CEO has a golden parachute (many missing)
agovlimitabilityactbywritconsent - 0/1 whether governance has limited shareholders ability to act by written consent (many missing)
