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Atanasov and Black(WP 2015) Shock-Based IV再考

制度変更等を利用したShock-Based IVはIVが満たすべき仮定のひとつである独立性(as-if random assignment to treatment)や除外制約(only through)を満たしていると考えられているため,多くの研究で利用されているが,先行研究のShock-Based IVは本当に仮定を満たしているのかを再分析し検証した論文.

Atanasov, V. and B. Black. 2015. “The Trouble with Instruments: Re-Examining Shock-Based IV Designs.SSRN Working Paper

要旨は以下.

Credible causal inference in accounting and finance research often comes from “natural” experiments. These natural experiments generate “shocks” which can be exploited using various research designs, including difference-in-differences (DiD), instrumental variables based on the shock (shock based IV), and regression discontinuity (RD). There is much to be said for shock-based designs. Moreover, if one must use IV, shock-based IV designs are highly likely to be preferred to non-shock IV designs. But shock- based IV remains problematic. Often, a near-equivalent DiD design is available, and is usually preferable. We illustrate the problems with shock-based IV by re-analyzing three recent, high-quality papers. None of the IVs in these papers turn out to be valid. For Desai and Dharmapala’s (REStat 2009) study of the interaction between tax shelter opportunities and corporate governance, their first stage fails when we impose a balanced sample of firms with data both before and after the shock. For Duchin, Matsusaka and Ozbas’s (DMO) (JFE 2010) study of the effect of board independence on firm performance, their first stage also fails when we balance treated and control firms on the pre-shock proportion of independent directors. For Iliev’s (JF 2010) RD/IV study of the cost of compliance with SOX § 404, we use combined DiD/RD and principal strata methods, and find cost estimates somewhat below his RD estimate, and well below his RD/IV estimate. The principal problem is that Iliev’s IV does not, for subtle reasons, satisfy the core “only through” condition (exclusion restriction) for a valid instrument. We discuss common themes that emerge from our re-analysis, including the fragility of IV compared to other shock-based designs; the need for covariate balance between treated and control firms; and the difficulty in satisfying the only-through condition. Our results suggest that even for shock-based designs, the scope for IV methods is very limited.

本稿で検討しているのはDesai and Dharmapala (REStat 2009), Duchin, Matsusaka and Ozbas (JFE 2010), Iliev (JF 2010)の3論文で使われているIVである.

Desai and Dharmapala (REStat 2009)

Desai and Dharmapala (2009, below D&D) study how corporate governance mediates the effect of tax shelter opportunities on firm value. Their shock is 1996 Treasury regulations that simplified taxation for small private firms. As an unintended side effect, these rules increased tax shelter opportunities for multinational firms. D&D use this shock, interacted with measures of the firm’s need to shelter income, as instruments for “book-tax gap” (a proxy for tax sheltering). They find that greater sheltering opportunities increase firm value, but only for firms with high institutional ownership (a proxy for corporate governance).

問題点:独立性を明らかに満たしていない.すなわちTreatmentとControlで共変量バランスがとれていない.共変量バランスを補正したところ1st Stageが有意にならなかった.

Duchin, Matsusaka and Ozbas (JFE 2010)

Duchin, Matsusaka and Ozbas (2010, below, DMO) study the effect of board independence on firm value and profitability. Their instrument for a change in board independence is whether a firm had to add independent directors to its audit committee to meet a 1999 New York Stock Exchange (NYSE) and NASDAQ requirement that audit committees consist entirely of independent directors (“Audit Committee Shock”). DMO find that a higher proportion of independent directors is value-neutral overall, but positive (negative) for firms with low (high) information costs. Over 2000-2005, firms in the top quartile of information cost that increase board independence by 10% (the amount predicted by their instrument) suffer a 3.0% drop in ROA relative to bottom-quartile firms; a 24% relative drop in Tobin’s q; and 31% lower cumulative share returns.

問題点:独立性を明らかに満たしていない.すなわちTreatmentとControlで共変量バランスがとれていない.共変量バランスを補正したところ1st Stageが有意にならなかった.

Iliev (JF 2010)

lIiev (2010) studies the cost of compliance with § 404 of the Sarbanes-Oxley Act (SOX) for firms near the compliance threshold (public float of $75M), using a combined regression discontinuity (RD) and IV design. His RD design exploits the discontinuity at $75M in float between firms which do (don’t) need to comply with SOX § 404. Iliev finds that some firms manipulate their float to stay below the $75M threshold, and uses IV to address this manipulation.

問題点RDDの強みはRCTに似た環境をつくることができる点だが,共変量バランスチェックを行っていない.再分析でチェックを行ってみたところTreatmentとControlで共変量バランスがとれていない.そこでIIieveのデザインであるRD/IVではなくDiD/RD(RDのバンド幅のサンプルでDiDをする)を用いて再分析したところ,有意であることは変わらなかったが過大推定になっていることを発見した.この理由として,Atanasov and Black(WP 2015)はIIievの採用したIVは除外制約を満たしていないのではないかと指摘している.

Black本人が話していたことではあるが,IIievになぜDiD/RDを使わなかったと聞いたところ知らなかったそうである.また,BlackはIVやRDDを用いる際には常に共変量チェックを怠らないよう注意を促している.