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Winner's Curse in Acquisitions (Academic Paper) (view source)
Revision as of 18:14, 22 March 2017
, 18:14, 22 March 2017no edit summary
{{McNair ProjectsAcademicPaper|Project TitleHas title=Winner's Curse in Acquistions Acquisitions (Academic Paper),|Topic AreaHas author=Economic and Business TrendsEd Egan,Jim Brander|OwnerHas RAs=Ed EganAmir Kazempour, Will Cleland, Amir K, Jake Silberman,|Start Term=Fall 2016,|Status=Active,|Deliverable=Academic Paper,|AudienceHas paper status=Academics,|Primary Billing=AccMcNair01,Published
}}
==Summary==
This paper finds evidence consistent with a Winner's Curse in the acquisitions of privately-held firms. This Winner's Curse is aggravated when there are more potential bidders and/or greater information asymmetries.
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 --Raw data in
SDCBase --No dups
SDCV2 --Code and 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 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 GOVERNANCE_NOTES.txt
--Malmendier_tate.sql
==List of Variables==
Variables & Where to Find Them:
{| class="wikitable sortable" style="border: 1px solid darkgray; bgcolor: #f9f9f9"
| '''Variable''' || '''Location''' || '''Table'''
|-
| Actual Return || CRSP || A1
|-
| Abnormal Return || CRSP || A1
|-
| Average Return || CRSP || STATA
|-
| Weighted Average Return || CRSP || STATA
|-
| Cumulative Ab. Return || CRSP || A1
|-
| Boom || Compustat || tobinxcompxsdcboom
|-
| Competition || Compustat || tobinxcompxsdcboom
|-
| Distance || SDC + google maps || D.N.E.
|-
| IT Fixed Effect || SDC || SDCA4
|-
| Idiosyncratic Volatility || CRSP (Calculated) || A1
|-
| Industry Fixed Effect || SDC || SDCA4
|-
| Momentum || CRSP (Calculated) || A1
|-
| Private Financial Data || CRSP(SDC) || SDCA4
|-
| Percent Cash || SDC || SDCA4
|-
| Previous Acquisitions || SDC || SDCA4
|-
| Sales || Compustat || tobinxcompxsdcboom
|-
| Tobin's Q || Compustat || tobinxcompxsdcboom
|-
| Turnover || CRSP || A1
|-
| VC Fixed Effect || SDC & VentureXpert || D.N.E.
|-
| Governance || Compustat || D.N.E.
|-
| Friendly vs. Hostile || SDC || D.N.E.
|-
| CEO Overconfidence || Execucomp || malmendier_Tate
|}
Boom - Created. Code in E:\McNair\Projects\Winner's Curse\Data\SQL\SDC_TABLE. Final variable in table SDCno_boom.
Competition - Created. Code in E:\McNair\Projects\Winner's Curse\Data\SQL\CRSP_TABLE. Final variable in table competition final.
IT Fixed Effect - Create an indicator variable taking the value one if the target has a NAICS code listed on page 31 of the article.
Idiosyncratic Volatility - RMSE, it should already be up on the database.
Industry Fixed Effect - Created. Jake, please update this.
Momentum - To control for systematic variations in return over time. The summation of the NYSE-Nasdaq-AMEX composite market return (as
calculated by CRSP) over the event window
Private Financial Data - Look at [https://wrds-web.wharton.upenn.edu/wrds/query_forms/variable_documentation.cfm?vendorCode=CRSP&libraryCode=crspa&fileCode=ccmfunda&id=bspr]. The variables takes value 1 when the balance sheet is not publicly available.
Percent Cash - Possibly this is going to be the PCT_CASH variable in SDC. This should be the PC_CASH field in the SDC table.
Previous Acquisitions - The number of previous acquisitions (from 1985 on) of privately-held firms completed by the acquirer prior to its announcement of the acquisition.
Tobin's Q: The ratio of market-to-book value of assets. This would be MKVALT/ AT in the SDC table.
Turnover: AVG( # shares traded each month / # shares outstanding.
VC Fixed Effect: Is the target VC backed or not? Where could we find the VC data.
==Three Big Pulls==
===SDC Mergers & Acquisitions===
Add the following (A=L+E) ---- DONE
TargetTotalAssets real, TASS: Taget Financials: Total Assets
TargetTotalLiabilities real, TLIA: Total Liabilities Last Twelve Months ($ Mil)
TargetCommonEquity real, COMEQ: Target Financials: Common Equity
Also nice ---- DONE
TargetNetSales real, SALES: Net Sales Last Twelve Months ($ Mil)
TargetNetSales2 real, ?
TargetBookValuePerShare real, BV: Book Value per Share Last Twelve Months ($)
TargetIntangibles real, IASS: Intangible Assets Last Twelve Months
TargetRAndD real, RND1: Research & Development Expense 1 Year Prior ($ Mil)
Added just in case ---- DONE
Sales
Net Assets
Book Value (Perhaps needed for Tobin's Q?)
Session Details
---------------
Request Hits Request Description
0 - DATABASES: Domestic Mergers, 1979-Present (MA, OMA)
1 - Date Announced: 1/1/1985 to 10/11/2016 (Custom) (Calendar)
2 300351 Target Nation : US
3 257921 Acquiror Nation : US
4 127852 Acquiror Public Status : P
5 98102 Target Public Status : V, P
6 63725 Deal Status : C
7 52739 Percent of Shares Owned after Transaction: 100 to 100
8 Custom Report: SDC_MA_Oct10v2 (Columnar) - Save As:
E:\McNair\Projects\Winner's Curse\Data\SDC_MA_Oct10v2.txt
Billing Ref # : 1960756
Capture File : riceuniv.1960756
Session Name : SDC_MA_Oct10v2.ssh
Variables Pulled:
-----------------
Date Announced
Date Effective
Target Name
Target Industry Sector
Target Nation
Acquiror Name
Acquiror Industry Sector
Acquiror Nation
Pc of Shares Acq
Pc Owned After Transaction
Value of Transaction mil
Enterprise Value mil
Equity Value mil
Acquiror CUSIP
Acquiror Immediate Parent CUSIP
Acquiror Ultimate Parent CUSIP
Target Immediate Parent CUSIP
Target Ultimate Parent CUSIP
Target CUSIP
Acquiror Primary Ticker Symbol
Acquiror Ultimate Parent Primary Ticker Symbol
Target Primary Ticker Symbol
Target Ultimate Parent Primary Ticker Symbol
Target Ultimate Parent Ticker Symbol
Acquiror Primary NAIC Code
Acquiror Ultimate Parent Primary NAIC Code
Target Primary NAIC Code
Target s Ultimate Parent Primary NAIC Code
Number of Bidders
Status
Value Est
Value Amended Flag
Date Announced is Estimated
Consideration Structure
Number of Considerations Offered
Number of Considerations Sought
Consid Structure Description
Pc of Cash
Pc of Other
Pc of Stock
Pc of Unknown
Acquiror Full Name
Target Name
Acquiror City
Target City
Acquiror Zip Code
Target Zip Code
Acquiror State
Target State
Deal Currency Code
Target Bankrupt
Challenged Deal
Debt Restructuring
RecapDefense
Government Owned Involvement Flag
Joint Venture
Restructuring
Acquiror is a Leveraged Buyout Firm
LBO
IPO FlagY N
Target is a Leveraged Buyout Firm
Merger of Equals
Reverse Takeover
Deal Began as a Rumor
Acquiror is a White Knight
White Knight Defense
Back End Defense
FlipOver Defense
Voting Plan Defense
Poison Pill
Creeping Acquisition
Repurchase Defense
Pacman Defense
Lockup FlagY N
Target Lockup
Greenmail
Asset Lockup
Scorched Earth Defense
SelfTender Defense
Stock Lockup
Defense
White Squire
Acquiror Includes Employees
Acquiror Includes an ESOP
Significant Family Ownership of Target
Acquiror Lockup
Financial Acquiror
2 Step Spinoff
Acquiror Includes Mgmt
Open Market Purchases
Proxy Fight
Purpose Code
Related Deals
Foreign Provider of Funds
Stock Swap
Asset Swap Flag
Sweep the Street
SelfTender
Tender Offer
Unsolicited
Acquiror TermFee
Target TermFee
Forced vote provisions FlagY N
Walkaway
Acquiror Ultimate Parent Street Address 1
Acquiror Ultimate Parent Street Address 2
Target Ultimate Parent Street Address 1
Target Ultimate Parent Street Address 2
Acquiror Primary Stock ExchangeName
Target Primary Stock ExchangeName
===COMPUSTAT===
Use Compustat Industrial Annual (annual data)
Criteria:
-----------------
1970-1 to 2015-11
GVKEY, Entire Dbase
tab delimited, date in ISO8661
Variables:
----------
GVKEY
CONM
TIC
CUSIP
EXCHG
FYR
CURNCD
FYEAR
AT
CEQ
INTAN
EBITDA
REVT
SALE
NAICSH
SICH
MKVALT
PRCC_F
C
INDL
FS
STD
Note: TobinsQ is Market over book so MKVALT/AT (also pulled common stock and price)
DROP TABLE compustatpull;
CREATE TABLE compustatpull (
gvkey int,
datadate date,
Fyear int,
industry_format varchar(5),
consol varchar(20),
popsrc varchar(20),
datafmt varchar(5),
tic varchar(20),
cusip varchar(20),
conm varchar(50),
curcd varchar(3),
curncd varchar(3),
fyr int,
act float,
ceq varchar(20),
ebitda float,
intan float,
revt float,
sale float,
exchg varchar(20),
costat varchar(5),
naicsh float,
sich varchar(20),
mkvalt varchar(20),
prcc_f varchar(20),
county varchar(50),
naics varchar(10),
sic int,
states varchar(2),
ipodate date);
\COPY compustatpull FROM 'CSTAT-10Oct-ff1feb81b9f166ad.txt' WITH DELIMITER AS E'\t' HEADER NULL AS '' CSV
--464894
All loaded up
===CRSP===
Use CRSP Annual, Daily Stock File
Criteria:
-----------------
PERMNO, Entire Dbase
1980-01-01 to 2015-12-31
tab delimited, date in ISO8661
Variables:
----------
PERMNO
CUSIP
NCUSIP
COMNAM
TICKER
PERMCO
EXCHCD
SICCD
NAICS
PRIMEXCH
PRC
VOL
NUMTRD
RET
SHROUT
VWRETD
EWRETD
==Governance Measures==
Projects --> Winner's Curse --> Data
Open the GovernanceVARS.txt
These are
*staggered boards
*limits to shareholder bylaw amendments
*limits to shareholder charter amendments
*supermajority requirements for mergers
*poison pills
*golden parachutes
==To do list==
Processing the SDC data:
*Find SIC codes concordance to get NAICS for old data
*Acquirer publicly traded ( must be AMEX, NASDAQ, or NYSE)
*Magic with CUSIPs : CUSIP is a nine digit number (possibly ten, ) Seven issuer, two issue, one check
CRSP processing notes:
*Estimation window 250 days ending 30 days before the Acq. must be at least 50 continuous days before the 30 days window.
*Returns and prices may contain codes. Import as var_char and reprocess?
Other notes:
*See page 9 of the paper for data processing notes.
*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) - 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)
Text file is saved in:
E:\McNair\Projects\Winner's Curse\Governance\RiskMetrics-0b578b37fbb59afa.txt
Variable Description is saved in
E:\McNair\Projects\Winner's Curse\Governance\Var-Gov-Desc.pdf
SQL code file for the table is saved in
E:\McNair\Projects\Winner's Curse\Data\SQL\GOV_Table.sql
The variables are coded as follows:
0 NO
1 YES
NULL NULL
otherwise see the following file:
E:\McNair\Projects\Winner's Curse\Data\SQL\GOVERNANCE_NOTES.txt
or here:
BLANKCHECK NuLL/YES/NO
CARVE_OUT NULL/YES/NO
CBOARD NULL/YES/NO
CONAME
CONFVOTE NULL/YES/NO
CUMVOTE NULL/YES/NO
CUSIP
DUALCLASS NULL/YES/NO
FAIRPRICE NULL/YES/NO
GPARACHUTE NULL/YES/NO
LABYLW NULL/YES/NO
LACHTR NULL/YES/NO
LEGACYPPS_ID NO ENTRY ---> DROPPED
LSPMT NULL/YES/NO
LWCNST NULL/YES/NO/UNANIMOUS= 2
MAJ_VOTE_REQUIRED NULL/CAST=1/OUTSTANDING=2
MAJ_VOTE_REQUIREMENT NULL/NO=0/BY-LAWS=1/POLICY=2/CHARTER=3
MAJOR_VOTE_COMM USELESS ---> DROP
PPILL NULL/YES/NO
RESIGN_REQUIRE NULL/NO=0/ POLICY=1/ BYLAWS-CHARTER=2
SIC varchar(4)
TICKER varchar(5)
TIER DROPthis
UNEQVOTE NULL =0, ELSE =1 DEPOSITORY R/TIME-PHASED/GOLDEN SHARES/FIXED VOTING RI/GOLDEN SHARE/PRIORITY SHA/PRIORITY SHARES/FIXED VOTING/YES/TIME-PHASED VOT/DEPOSITORY RECE
OO_BUSCOMP NULL/YES/NO
OO_CASHOUT_PA NULL/YES/NO
OO_CSA NULL/YES/NO
OO_DUTIES NULL/YES/NO
OO_FAIRPRICE NULL/YES/NO
OO_PP NULL/YES/NO
OO_RPROFITS NULL/YES/NO
OO_STAKEHOLDER NULL/YES/NO
YEAR int
RT_ID int
MEETINGDATE date
COMPANY_ID int
STATE LEAVE AS VARCHAR
CHARTER_AMEND_VOTEPCNT real
FYEND int
LAW_AMEND_VOTEPCNT real
MTGMONTH int
PRICE real
SPINDEX LEAVE AS VARCHAR
SPL_MEET_VOTEPCNT real
SUPERMAJOR_PCNT real
WRITTEN_CONSENT_VOTEPCNT real
Merging with CRSP:
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.
Also, good to know:
Best Identifier to Use in RiskMetrics Directors- Changes to Identifier between Legacy and Current Files
1. The primary identifier in the current dataset is year-ticker-director_detail_id. Ticker is better populated than cusip in earlier years, but should be about the same in the latest years. For the legacy directors, director_detail_id was in use for some years and legacy_director_id for others.
2. Cusips in the legacy file are "header". With each update, WRDS modified all previous cusips for a company to match the latest. Although it may help in some cases, it may hurt in others and it is not quite the way the data was delivered. Starting with the new directors file, Cusips appear in the file as they were delivered (effectively making them historical going forward). Cusips in the legacy data were also uniformly truncated to 6 digits for consistency. The new file reports them as they are delivered, typically (but not always) 9 digits.
3. Tickers were not changed over time and appear as they were delivered. One example is legacy company id (legacy_pps_id) 25 has tickers ASN and IKN.
4. Each time IRRC - ISS - Riskmetrics was acquired, new identification methods were introduced. This is why you see legacy company and director IDs. Neither is more correct, we recommend choosing the most populated one for the years in which you are working.
5. Constructing a complete time series in the directors data is not easy. There is no single variable that is populated for all companies and all years.
6. Be very careful when combining the legacy data (through 2006) and the current data (from 2007). They were separated because the collection methods and meaning of some variables changed.
==Paper Discussion==
==Importing the CRSP data into the `winner' database (Amir) ==
Two important files:
Project --> Winner's Curse --> Data --> SQL --> CRSP_NOTES
Project --> Winner's Curse --> Data --> SQL --> CRSP_CODES
Data file is located in: E:\McNair\Projects\Winner's Curse\Data\CRSP-Oct10-c30cc89e52b70545-1.txt
Issue 1: The text file is 8 GB large and there's no way to open it in Textpad. I'll try to read the file in LogExpert which seems to do a neat job in in opening large files. Otherwise, I'll try to read the first few lines in the terminal.
Update: I managed to open the file in LogExpert. However, extremely inefficient to scroll over the file.
I copied the file to Z:\WinnersCurse\CRSP-oct10
Entered the following command in the terminal to read the header:
head -1 CRSP-oct10.txt
CREATE TABLE CRSP (
PermNo int,
date date,
EXcode int,
SIC int,
NCUSIP varchar(10),
Ticker varchar(10),
Name varchar(100),
NAICS int,
PrimEx varchar(1),
PERMCO int,
CUSIP varchar(12),
Price real,
VOL int,
RET real,
ShOut int,
trade int,
EQRET real,
VRET real
);
We have unexpected data types in few columns. We'll first start by copying data into a table named CRSPtmp with varchar type for most of the fields.
CREATE TABLE CRSPtmp (
PermNo varchar(10),
date date,
EXcode varchar(10),
SIC varchar(10),
NCUSIP varchar(10),
Ticker varchar(10),
Name varchar(100),
NAICS varchar(10),
PrimEx varchar(1),
PERMCO varchar(10),
CUSIP varchar(12),
Price varchar(15),
VOL varchar(10),
RET varchar(10),
ShOut varchar(10),
trade varchar(10),
EQRET varchar(10),
VRET varchar(10)
);
\COPY crsptmp FROM '/bulk/WinnersCurse/CRSP-oct10.txt' WITH DELIMITER AS E'\t' HEADER NULL AS '' CSV
-- COPY 64614281
Next, to create an index on CUSIP:
CREATE INDEX CUSIPIndex
ON crspfinal(CUSIP);
===CRSP2 Variable Issues (Jake)===
permno-
date-
excode -
sic - letter "Z", value 711 (most are 4 digits),
ncusip -
ticker -
name -
naics -
primex -
permco -
cusip -
Price - Null values, negative numbers,
vol - null values
ret - null values, letter "B" as value multiple times, letter "C",
shout - null values
trade - null values
eqret -
vret -
==Importing SDC Data into Winner Database==
Session Details
---------------
Request Hits Request Description
0 - DATABASES: Domestic Mergers, 1979-Present (MA, OMA)
1 - Date Announced: 1/1/1985 to 10/11/2016 (Custom) (Calendar)
2 300400 Target Nation : US
3 257952 Acquiror Nation : US
4 127865 Acquiror Public Status : P
5 98108 Target Public Status : V, P
6 63732 Deal Status : C
7 52746 Percent of Shares Owned after Transaction: 100 to 100
8 Custom Report: SDC_MA_Oct10v4 (Columnar) - Save As:
E:\McNair\Projects\Winner's Curse\Data\SDC_MA_Oct10v4.txt
Billing Ref # : 1962461
Capture File : riceuniv.1962461
Session Name : SDC_MA_Oct10v4.ssh
We encountered an issue with the variable Purpose Code in our most recent
SDC pull. Purpose Code can carry multiple values, so we had extra lines
with blanks for every value other than Purpose Code. Rather than
doing another SDC pull, we used the following regular expressions to
solve:
Find : ^[\s}.*
Replace :
Directly below is the original SDC file prior to our fix
E:\McNair\Projects\Winner's Curse\Data\SDC_MA_Oct10v4 -raw
Directly below is the SDC file post-fix
E:\McNair\Projects\Winner's Curse\Data\SDC_MA_Oct10v4
11332 rows were removed as a result of our regular expression use.
=== Normalizing SDC data ===
Make sure that the first line of the data file starts with the column names and column name are not preceded by empty lines. Also, remove the summary/report lines at the bottom of the text file.
A copy of the normalizer is save here
E:\McNair\Projects\Winner's Curse\Data\NormalizeFixedWidth.pl
Follow these steps:
# Activate the Komodo license.
# Open Komodo IDE 9, there should be a shortcut on your desktop
# Drag and drop NormalizeFixedWidth.pl in Komdo
# Click on the start or continue debugging
# Type : -file=SDC_MA_Oct10v4.txt in Script Arguments textbox.
# Click on OK
# Enter the number of last line of the header and press return. This should be the line immediately followed by the first row of data.
##########################################################
# NormalizeFixedWidth.pl #
# v0.01 #
# (c)Ed Egan, 2010 #
##########################################################
Starting the program... [Done]
Your run options are:
File to read from... [SDC_MA_Oct10v4.txt]
File to write to... [SDC_MA_Oct10v4-normal.txt]
Opening the input file to read... [Done]
##########################################################
Choose the last line of the header (inc. blanks):
0 Date Date Target Name
1 Announced Effective
2
3
4
5
6 01/01/85 01/01/85 Gladieux Corp
7 01/02/85 01/02/85 STG Electrosystems Inc
8 01/03/85 01/03/85 American Title Co
9 01/04/85 01/04/85 Bee Chemical Co
Your Choice: 5
Thank you - Proceeding now...
##########################################################
Determining markers... [Done]
Processing the header... [Done]
Processing the body... [Done]
Removing dead columns... [Done]
##########################################################
Choose any columns you want repeated down (e.g. 0,1,2):
0 Date Announced
1 Date Effective
2 Target Name
3 Target Industry Sector
4 Target Nation
5 Acquiror Name
6 Acquiror Industry Sector
7 Acquiror Nation
8 Pc of Shares Acq
9 Pc Owned After Transaction
10 Value of Transaction mil
11 Enterprise Value mil
12 Equity Value mil
13 Acquiror CUSIP
14 Acquiror Immediate Parent CUSIP
15 Acquiror Ultimate Parent CUSIP
16 Target Immediate Parent CUSIP
17 Target Ultimate Parent CUSIP
18 Target CUSIP
19 Acquiror Primary Ticker Symbol
20 Acquiror Ultimate Parent Primary Ticker Symbol
21 Target Primary Ticker Symbol
22 Target Ultimate Parent Primary Ticker Symbol
23 Acquiror Primary NAIC Code
24 Acquiror Ultimate Parent Primary NAIC Code
25 Target Primary NAIC Code
26 Target s Ultimate Parent Primary NAIC Code
27 Number of Bidders
28 Status
29 Value Est
30 Value Amended Flag
31 Date Announced is Estimated
32 Consideration Structure
33 Number of Considerations Offered
34 Number of Considerations Sought
35 Consid Structure Description
36 Pc of Cash
37 Pc of Other
38 Pc of Stock
39 Pc of Unknown
40 Acquiror Full Name
41 Target Name
42 Acquiror City
43 Target City
44 Acquiror Zip Code
45 Target Zip Code
46 Acquiror State
47 Target State
48 Deal Currency Code
49 Target Bankrupt
50 Challenged Deal
51 Debt Restructuring
52 RecapDefense
53 Government Owned Involvement Flag
54 Joint Venture
55 Restructuring
56 Acquiror is a Leveraged Buyout Firm
57 LBO
58 IPO FlagY N
59 Target is a Leveraged Buyout Firm
60 Merger of Equals
61 Reverse Takeover
62 Deal Began as a Rumor
63 Acquiror is a White Knight
64 White Knight Defense
65 Back End Defense
66 FlipOver Defense
67 Voting Plan Defense
68 Poison Pill
69 Creeping Acquisition
70 Repurchase Defense
71 Pacman Defense
72 Lockup FlagY N
73 Target Lockup
74 Greenmail
75 Asset Lockup
76 Scorched Earth Defense
77 SelfTender Defense
78 Stock Lockup
79 Defense
80 White Squire
81 Acquiror Includes Employees
82 Acquiror Includes an ESOP
83 Significant Family Ownership of Target
84 Acquiror Lockup
85 Financial Acquiror
86 2 Step Spinoff
87 Acquiror Includes Mgmt
88 Open Market Purchases
89 Proxy Fight
90 Purpose Code
91 Related Deals
92 Foreign Provider of Funds
93 Stock Swap
94 Asset Swap Flag
95 Sweep the Street
96 SelfTender
97 Tender Offer
98 Unsolicited
99 Acquiror TermFee
100 Target TermFee
101 Forced vote provisions FlagY N
102 Walkaway
103 Acquiror Ultimate Parent Street Address 1
104 Acquiror Ultimate Parent Street Address 2
105 Target Ultimate Parent Street Address 1
106 Target Ultimate Parent Street Address 2
107 Acquiror Primary Stock ExchangeName
108 Target Primary Stock ExchangeName
109 Target Net Sales LTM mil
110 Target Net Assets mil
111 Target Total Assets mil
112 Target Common Equity mil
113 Target Book Value Per Share LTMUS
114 Target Intangible Assets mil
115 Target R D One Year Priormil
116 Target Total Liabilities mil
Your Choice:
Thank you - Proceeding now...
##########################################################
Writing the output file... [Done]
##########################################################
Thank you for processing data with NormalizeFixedWidth
Please cite any Ed Egan corporate finance paper in your
references or otherwise acknowledge this help to your work.
(c)Ed Egan, 2010. Enjoy. (US dollars preferred.)
##########################################################
The output is now stored in the same directory: E:\McNair\Projects\Winner's Curse\Data\SDC_MA_Oct10v4-normal.txt
To import the data into winner database, I'll copy the above file to the /bulk directory.
The code to create the SDC table is stored in \McNair\Projects\Winner's Curse\Data\SQL\SDC_TABLE.
Create Table SDC(
Date_Announced date,
Date_Effective date,
Tgt_Name varchar(80),
Tgt_Industry varchar(100),
Tgt_Nation varchar(100),
Acq_Name varchar(80),
Acq_Ind varchar(100),
Acq_Nation varchar(100),
Pc_Shares_Acq varchar(100),
Pc_Owned_After_Transaction varchar(100),
Value_Transaction varchar(100),
Enterprise_Value varchar(100),
Equity_Value varchar(100),
Acq_CUSIP varchar(100),
Acq_prnt_CUSIP varchar(100),
Acq_Ultimate_CUSIP varchar(100),
Tgt_prnt_CUSIP varchar(100),
Tgt_Ultimate_CUSIP varchar(100),
Tgt_CUSIP varchar(100),
Acq_Primary_Ticker varchar(100),
Acq_Ultimate_Ticker varchar(100),
Tgt_Primary_Ticker varchar(100),
Tgt_Ultimate_Ticker varchar(100),
Acq_NAIC varchar(100),
Acq_Ultimate_NAIC varchar(100),
Tgt_Primary_NAIC varchar(100),
Tgt_Ultimate_NAIC varchar(100),
NBid varchar(100),
Status varchar(100),
Value_Est varchar(100),
Value_Amended_Flag varchar(100),
Date_Announced_Estimated varchar(100),
Consideration_Structure varchar(100),
NConsid_off varchar(100),
NConsid_Sought varchar(100),
Consid_Structure varchar(100),
Pc_Cash varchar(100),
Pc_Other varchar(100),
Pc_Stock varchar(100),
Pc_Unknown varchar(100),
Acq_FullName varchar(100),
Tgt_Name2 varchar(100),
Acq_City varchar(100),
Tgt_City varchar(100),
Acq_Zip varchar(100),
Tgt_Zip varchar(100),
Acq_St varchar(100),
Tgt_St varchar(100),
Currency varchar(100),
Tgt_Bankrupt varchar(100),
Chlng_Deal varchar(100),
Debt_Restructuring varchar(100),
RecapDefense varchar(100),
Government_Owned_Involvement_Flag varchar(100),
Joint_Venture varchar(100),
Restructuring varchar(100),
Acq_LBO_firm varchar(100),
LBO varchar(100),
IPO_Flag varchar(100),
Tgt_LBO_firm varchar(100),
Merger_Equals varchar(100),
Reverse_Takeover varchar(100),
Deal_was_Rumor varchar(100),
Acq_is_a_White_Knight varchar(100),
White_Knight_Defense varchar(100),
Back_End_Defense varchar(100),
FlipOver_Defense varchar(100),
Voting_Plan_Defense varchar(100),
Poison_Pill varchar(100),
Creeping_Acquisition varchar(100),
Repurchase_Defense varchar(100),
Pacman_Defense varchar(100),
Lockup_FlagY_N varchar(100),
Tgt_Lockup varchar(100),
Greenmail varchar(100),
Asset_Lockup varchar(100),
Scorched_Earth_Defense varchar(100),
SelfTender_Defense varchar(100),
Stock_Lockup varchar(100),
Defense varchar(100),
White_Squire varchar(100),
Acq_Includes_Employees varchar(100),
Acq_Includes_an_ESOP varchar(100),
Sig_Family_Ownership_Tgt varchar(100),
Acq_Lockup varchar(100),
Financial_Acq varchar(100),
Step_Spinoff varchar(100),
Acq_Includes_Mgmt varchar(100),
Open_Market_Purchases varchar(100),
Proxy_Fight varchar(100),
Purpose_Code varchar(100),
Related_Deals varchar(100),
Foreign_Provider_Funds varchar(100),
Stock_Swap varchar(100),
Asset_Swap_Flag varchar(100),
Sweep_the_Street varchar(100),
SelfTender varchar(100),
Tender_offer varchar(100),
Unsolicited varchar(100),
Acq_TermFee varchar(100),
Tgt_TermFee varchar(100),
Forced_vote_provisions_FlagY_N varchar(100),
Walkaway varchar(100),
Acq_Ultimate_Add1 varchar(100),
Acq_Ultimate_Add2 varchar(100),
Tgt_Ultimate_Add1 varchar(100),
Tgt_Ultimate_Add2 varchar(100),
Acq_stockEx varchar(100),
Tgt_stockEx varchar(100),
Tgt_Net_Sales varchar(100),
Tgt_Net_Assets varchar(100),
Tgt_Total_Assets varchar(100),
Tgt_Common_Equity varchar(100),
Tgt_BVpersh_LTMUS varchar(100),
Tgt_IntangibleA varchar(100),
Tgt_RD varchar(100),
Tgt_Tot_liab varchar(100)
);
The column tgt_name seemed to have repeated twice in our data. To save time, I've just added 2 at the end of the column name for any such occurrence.
--COPY 52746
===SDC Table with pairs of unique CUSIP and Announcement dates(Jake)===
acq_cusip | acq_prnt_cusip | acq_ultimate_cusip
date_announced
Determine which of the cusips has the best coverage by checking
for null values. All cusip variables have equal coverage.
Picking acq_cusip.
Create a table with unique cusip (only first 6 digits) and announcement date values.
SELECT LEFT(acq_cusip, 6) AS acq_cusip, date_announced INTO cusip_announcedate FROM sdc GROUP BY
acq_cusip, date_announced;
SELECT 49766
===Creating compound variables from variable list and combining them (Jake)===
DROP TABLE tobinq;
CREATE TABLE tobinq AS SELECT
conm, gvkey, cusip, datadate, extract(year from datadate) AS year,
LEFT(naics,3) AS naics3, revt,
CASE WHEN (CAST(ceq AS real)) = 0
THEN NULL ELSE (CAST(mkvalt AS real))/(CAST(ceq AS real)) END AS tobinq
FROM compustatpull;
--SELECT 464894
DROP TABLE tobinqxcompetition;
CREATE TABLE tobinqxcompetition AS SELECT
conm, gvkey, cusip, datadate, tobinq.year, tobinq.naics3, revt,
LAG(revt) OVER (PARTITION BY gvkey ORDER BY tobinq.year) AS revtlag,
tobinq,
LAG(tobinq) OVER (PARTITION BY gvkey ORDER BY tobinq.year) AS tobinlag,
sumsharesq, countgvkey FROM tobinq
LEFT JOIN competitionfinal ON tobinq.year = competitionfinal.year
AND tobinq.naics3 = competitionfinal.naics3;
--SELECT 464894
DROP TABLE CPI;
CREATE TABLE CPI(
year int, avg real, twentytenbase real);
\COPY CPI FROM 'CPI Data.txt' WITH DELIMITER AS E'\t' HEADER NULL AS '' CSV;
DROP TABLE test;
CREATE TABLE test AS SELECT tobinqxcompetition.*, acq_cusip, pc_cash,
CASE WHEN (Tgt_stockEx = 'NYSE'
OR Tgt_stockEx = 'AMEX'
OR Tgt_stockEx = 'NASDAQ')
THEN 1::int ELSE 0::int END AS Tgt_Public,
date_announced,
date_effective FROM tobinqxcompetition LEFT JOIN sdc ON
LEFT(tobinqxcompetition.cusip, 6) = sdc.acq_cusip AND
EXTRACT
(year from tobinqxcompetition.datadate) = EXTRACT(year from sdc.date_effective);
==STATA Work==
All Stata work found in the following folder:
E:\McNair\Projects\Winner's Curse\Stata
Code for most recent regression:
set more off
insheet using "Estimation.txt"
log using "Estimation.log", replace
gen rmse=0
gen ressd=0
gen alpha=0
gen beta=0
tabstat acqkey, stats(min max) save
matrix acqnos=r(StatTotal)
local min=acqnos[1,1]
local max=acqnos[2,1]
forvalues acqnumber = `min'(1)`max' {
capture reg ret vret if acqkey==`acqnumber'
capture matrix betas=e(b)
capture local beta=betas[1,1]
capture local alpha=betas[1,2]
capture local rmse=e(rmse)
capture predict res,r
capture tabstat res, stats(sd) save
capture matrix resmat=r(StatTotal)
capture local ressd=resmat[1,1]
capture replace rmse=`rmse' if acqkey==`acqnumber'
capture replace ressd=`ressd' if acqkey==`acqnumber'
capture replace alpha=`alpha' if acqkey==`acqnumber'
capture replace beta=`beta' if acqkey==`acqnumber'
capture drop res
display `acqnumber'
}
/*
reg ret vret if acqkey==2
matrix betas=e(b)
local beta=betas[1,1]
local alpha=betas[1,2]
local rmse=e(rmse)
predict res,r
tabstat res, stats(sd) save
matrix resmat=r(StatTotal)
local ressd=resmat[1,1]
replace rmse=`rmse' if acqkey==2
replace ressd=`ressd' if acqkey==2
replace alpha=`alpha' if acqkey==2
replace beta=`beta' if acqkey==2
drop res
*/
drop if reldayno !=-30
outsheet using "Estimation-processed.txt", replace
==Previous Papers==
From the old wiki
*[[Old VC Acquisitions Paper]]
*[[Old VC Lit Review]]
==Related Pages==
*[[Governance Measures]]
*[[E-mail Chain on Winner's Curse]]
*[[Malmendier & Tate CEO Overconfidence]]
*[[Overconfidence Papers]]
==Resources==
*[[SDC Platinum]]*[[Venture Expert]][[Old VC Acquisitions Paper]][[Old VC Lit Review]]
