Abstract: Natural experiments or quasi-experiments have become quite popular in management resear... more Abstract: Natural experiments or quasi-experiments have become quite popular in management research. The Differences-in-Differences (DiD) estimator is possibly the workhorse of these techniques. The goal of this paper is to provide a practical guide for researchers considering using natural experiments to make causal inferences. We discuss the DiD advantages, concerns, and tests of validity. We also provide an application of the technique, in which we discuss the effect of government guarantees on banks´ degree of risk, using the 2008 financial crisis as a natural experiment. The database used, as well as the Stata and the R scripts containing the analyses are available as online appendices.
Abstract. We exploit the exogenous shock to the Brazilian banking system caused by the internatio... more Abstract. We exploit the exogenous shock to the Brazilian banking system caused by the international turmoil of 2008 and find evidence that the run to systemically important banks is better explained by the perception of a too-big-to-fail policy than by bank funda-mentals. We infer that the extra inflow of deposits received by systemically important banks during crises gives them an important competitive advantage. Our analysis also indicates that a bank’s share of funding from institutional investors affects the nonfinancial firms’ and institutional investors ’ decision to run. JEL Classification: G21, G28, F650 1.
Abstract The traditional analytical tool for selection of portfolios is the Markowitz's mean... more Abstract The traditional analytical tool for selection of portfolios is the Markowitz's mean-variance model where the focus is purely on financial return. The final product of this model is the efficient frontier. The choice of the optimal portfolio among infinite possibilities is the final problem, but the mean-variance model does not recommend which one is the best portfolio. A set of heavy-oil projects located in deep-waters regions is used as a case-study to test the several alternatives for portfolio selection. This paper proposes an extension of ...
Abstract This paper investigates the economic relationship that exists between oil price and oper... more Abstract This paper investigates the economic relationship that exists between oil price and operating costs in the E&P industry and its implications for the capital budgeting and decision-making processes. We present empirical evidence that there is a positive correlation between price and operating costs, and that overlooking this relationship has severe implications for the valuation of investment projects, both using a traditional Net Present Value (NPV) methodology or a Real Option approach. In the traditional NPV ...
Abstract: Natural experiments or quasi-experiments have become quite popular in management resear... more Abstract: Natural experiments or quasi-experiments have become quite popular in management research. The Differences-in-Differences (DiD) estimator is possibly the workhorse of these techniques. The goal of this paper is to provide a practical guide for researchers considering using natural experiments to make causal inferences. We discuss the DiD advantages, concerns, and tests of validity. We also provide an application of the technique, in which we discuss the effect of government guarantees on banks´ degree of risk, using the 2008 financial crisis as a natural experiment. The database used, as well as the Stata and the R scripts containing the analyses are available as online appendices.
Abstract. We exploit the exogenous shock to the Brazilian banking system caused by the internatio... more Abstract. We exploit the exogenous shock to the Brazilian banking system caused by the international turmoil of 2008 and find evidence that the run to systemically important banks is better explained by the perception of a too-big-to-fail policy than by bank funda-mentals. We infer that the extra inflow of deposits received by systemically important banks during crises gives them an important competitive advantage. Our analysis also indicates that a bank’s share of funding from institutional investors affects the nonfinancial firms’ and institutional investors ’ decision to run. JEL Classification: G21, G28, F650 1.
Abstract The traditional analytical tool for selection of portfolios is the Markowitz's mean... more Abstract The traditional analytical tool for selection of portfolios is the Markowitz's mean-variance model where the focus is purely on financial return. The final product of this model is the efficient frontier. The choice of the optimal portfolio among infinite possibilities is the final problem, but the mean-variance model does not recommend which one is the best portfolio. A set of heavy-oil projects located in deep-waters regions is used as a case-study to test the several alternatives for portfolio selection. This paper proposes an extension of ...
Abstract This paper investigates the economic relationship that exists between oil price and oper... more Abstract This paper investigates the economic relationship that exists between oil price and operating costs in the E&P industry and its implications for the capital budgeting and decision-making processes. We present empirical evidence that there is a positive correlation between price and operating costs, and that overlooking this relationship has severe implications for the valuation of investment projects, both using a traditional Net Present Value (NPV) methodology or a Real Option approach. In the traditional NPV ...
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Papers by Rafael Schiozer