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VC Acquisitions Paper (view source)
Revision as of 18:31, 19 February 2012
, 18:31, 19 February 2012no edit summary
===Supplementary Data===
To determine the information asymmetry ranking of sectors we will need (either for 1 year or across the entire year range):
CRSP:
*idiosyncratic volatility of stock returns: requires returns and mkt returns
*relative trading volume
COMPUSTAT:
*intangible assets
*total assets
*Tobin's Q: Market value/book value of assets
*Acquisition announcement date
*Acquisition announcement year
*Total assets of acquirer(if available)
*Payment method (cash/stock/mix)
*CUSIP (for join to COMPUSTAT)
*Target NAIC
*Acquirer NAIC (if available)
*Age
*Sales
*Leverage?
*Intangible Assets
From COMPUSTAT:*Total Assets*Market Value (SHROUT*Price at announcement)*
From VentureExpert:
*VC (binary variable)
===Calculated variables===
*<math> AR_i = R_i- (\hat{\alpha_i} + \hat{\beta_i}R_m </math>
*<math> AR^S_i = R_i - R_m </math>
*Let <math>\epsilon</math> be the residual from the mkt model regression. Then calc: <math>\sigma_{\epsilon}={( \mathbb{E}(\epsilon - \mathbb{E} \epsilon))}^{\frac{1}{2}}</math>
SDC:
*No of past acquisitions for each acquirer
**VC
**Non-VC
Dataset level calculations:
*Boom: <math>1990\le year \le 1999</math>
*Leverage: <math>\frac{Op.\;Income}{Net\;Income}
*IT/BT/HT and 1dg-NAIC, 2dg-NAIC, other classification. Applied to targets and acquirers.
