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Article Dans Une Revue Journal of Financial Economics Année : 2021

Signaling, Instrumentation, and CFO Decision-Making

Résumé

Building parable economies embedding econometricians, we view alternative estimators (IV, fuzzy RD, natural experiments, OLS, event studies) from the perspective of privately-informed decision-makers, e.g. CFOs. IV estimates can be misleading since randomization through observable instruments eliminates signal content arising from discretion. If the goal is informing discretionary decisions, rather than predicting outcomes after forced/mistaken actions, instrumentation is problematic, whereas OLS or event studies can be sufficient. The analysis shows the utility of alternative estimators hinges upon oft-neglected assumptions about agent/econometrician information sets, as distinct from exclusion restrictions. We recommend parable economy estimation as precursor to real-world IV estimation.
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Dates et versions

hal-03383760 , version 1 (18-10-2021)

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  • HAL Id : hal-03383760 , version 1

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Gilles Chemla, Christopher A. Hennessy. Signaling, Instrumentation, and CFO Decision-Making. Journal of Financial Economics, 2021. ⟨hal-03383760⟩
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