FudanFinancial Research Forum: Research Center SAFE - … · (M&A, stock prices, ......
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Fudan Financial Research Forum: Research Center SAFE - Data Center
Transcript of FudanFinancial Research Forum: Research Center SAFE - … · (M&A, stock prices, ......
Fudan Financial Research Forum:Research Center SAFE -
Data Center
SAFE Data Center
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Service and Support
Selected Ongoing Research Project
Outlook
Key Tasks & Contribution to the SAFE Mission
Tasks and Goals
“SAFE will have a flourishing future bringing together effectivepolicy proposals based on rigorous empirically foundedresearch.”
Richard Blundell, SAFE Guest Commentary, 2013
“Rigorous empirically founded research” requires:
Identification and provision of high end financial data
Placing the five central research areas of SAFE on acommon European data footing
Service and support …
o for SAFE
o for the scientific community at large
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SAFE Data Center
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Service and Support
Outlook
Key Tasks & Contribution to the SAFE Mission
Selected Ongoing Research Project
Provision of High End Financial DataMicro data
(balance sheets, managerial information …)
Macro data
(GDP, budget deficits, forecasts, …)
Events and markets
(M&A, stock prices, announcements, …)
Financial Institutions
Bankscope, SNL, Compustat Banks, Call Reports, BoardEx
Bloomberg, Datastream
Bankscope, Markit CDS, DealScan, CRSP, I/B/E/S, TRACE
Corporate Finance
Amadeus, Bankscope, IRR, BoardEx, ExecuComp, Blockholders,Capital IQ
Bloomberg, Datastream
Markit CDS, CRSP, I/B/E/S, OptionMetrics, SDC
HouseholdFinance
ECRI, SHARE, OEE Bloomberg, Datastream
Lipper FM, Datastream, I/B/E/S
Financial Markets
Amadeus, Compustat, Capital IQ, BoardEx, ExecuComp
Global Financial Data, Bloomberg, Datastream
Markit CDS, DealScan, CRSP, I/B/E/S, Eurofidai, OptionMetrics, TRACE, SDC
Macro Finance Global Financial Data, Bloomberg, Datastream, Penn World Tables
Markit CDS, Bloomberg, Datastream, OptionMetrics
Service & Support, not just for SAFE researchers
Facilitated access, video tutorials, help desks, training, …
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Service & Support, not just for SAFE researchers
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Where do the data go?
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SAFE WP Nr.
Autoren Titel Datenbanken
5Vilkov, Xiao Option-Implied Information and Predictability of Extreme Returns CRSP6Kraft, Schwartz, Weiss Growth Options and Firm Valuation CRSP, Compustat 8Angeloni, Faia, Duca Monetary Policy and Risk Taking Datastream
16Ascheberg, Branger, Kraft When Do Jumps Matter for Portfolio Optimization? Datastream20Adams, Füss, Gropp Spillover Effects among Financial Institutions: A State-Dependent Sensitivity
Value-at-Risk ApproachDatastream
23Gill, Visnjic Insight Private Equity Thomson One24Gill, Visnjic Performance Benefits of Tight Control Thomson One25Kraft, Schmidt Systemic Risk in the Financial Sector: What Can We Learn from Option
Markets?CRSP, Compustat, OptionMetrics
26Brennan, Kraft Financing Asset Growth CRSP, Compustat, IBES35Gomber, Sagade, Theissen, Weber,
WestheideCompetition/Fragmentation in Equities Markets: A Literature Survey Reuters Tick History
36Hett, Schmidt Bank Rescues and Bailout Expectations: The Erosion of Market Discipline During the Financial Crisis
CRSP, Compustat, Datastream, Optionmetrics,
37Radev Systemic Risk and Sovereign Debt in the Euro Area Datastream, Bloomberg, Bankscope51Aït-Sahalia, Laeven, Pelizzon Mutual Excitation in Eurozone Sovereign CDS Datastream, Bloomberg60Colonnello, Curatola, Hoang Executive Compensation Structure and Credit Spreads CRSP, Compustat, Execucomp,
RiskMetrics, Markit65Berdin, Gründl The Effects of a Low Interest Rate Environment on Life Insurers Datastream70Radev Assessing Systemic Fragility – a Probabilistic Perspective Bloomberg77Born, Müller, Pfeifer Does Austerity Pay Off? Datastream93Hebous, Zimmermann Revisiting the Narrative Approach of Estimating Tax Multipliers Global Financial Data95Pelizzon,Subrahmanyam,
Tomio, UnoSovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina? Bloomberg
99Grupp, Rauch, Umber, Walz The Influence of Leveraged Buyouts on Target Firms' Competitors Compustat, ThomsonOne100Grupp Taking the Lead: When Non-Banks Arrange Syndicated Loans Compustat, Dealscan101Marcel Grupp On the Impact of Leveraged Buyouts on Bank Systemic Risk Compustat, Dealscan103Caporin, Pelizzon, Ravazzolo,
RigobonMeasuring Sovereign Contagion in Europe Datastream
107Powell, Rapp Non-Mandatory Say on Pay Votes and AGM Participation: Evidence from Germany
Worldscope
Remote Access to Data from Statistical Offices
External Research Data Center (FDZ) of the Federal StatisticalOffice and the statistical offices of the states
Outlook: Access to further micro-data sources (Institute forEmployment Research?, Bundesbank?, …)
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SAFE Data Center
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Service and Support
Selected Ongoing Research Project
Outlook
Key Tasks & Contribution to the SAFE Mission
Preparations for an International Data Sharing Platform
Objectives:
o Collecting, long-term archiving, documenting and sharingfinancial data in its widest sense (incl. information on„merging and linking“, algorithms, research papers,…)
o Global access (based on suitable access control rights)
o Focus and expertise on European data sources
Example: Loriana Pelizzon’s systemic risk dashboardinformation, incl. code
Project partners: Hessian Library Information System –HEBIS. (HeBIS) and University Library of Frankfurt
Cooperation with information science and financial researchcenters: GESIS, ZBW, CFR (Cologne), SFB 649 “EconomicRisk” (Berlin)
Status Quo: Application to DFG, revision invited10.10.2015 11
SAFE Data Center
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Scientific Achievements in Phase I
Selected Ongoing Research Projects
Outlook
Key Tasks & Contribution to the SAFE Mission
Historical Financial Data Project GOETHE
Generating complete and long running time series (1870-1970)
Enabling new research on the interaction between finance, history and economics (understanding roots of market capitalization, contagion then and now, FX exposure…)
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Data available in old newpapers, …but not digitalized in databases
Historical Financial Data Project GOETHE
Collect historical, currently non-digitalized financial data for Germany Asset Pricing, Balance Sheets, Corporate Governance
Large-scale endeavor with the ultimate goal of building a European alliance of institutes
Currently collecting stock prices for approximately 800 German companies listed on the Berlin Stock Exchange
Milestones
Data collection for the period 1870-1970 as part of a joint DFG-ANR project
Application for long-term funding from DFG Collaborative EU project on historical financial data
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High Frequency Data at SAFE
EUROFIDAI (France): Loriana Pelizzon and team (Marti G. Subrahmanyam, Jun Uno) received research support for using their high frequency financial data
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Thank you for your attention!
