Internal Capital Markets Efficiency - Rajan et al. (2000)

[Hajar El Mouttaqui]

Hi all,

I am a Masters student at the American University of Sharjah and I am currently working on my thesis. 

I am working on a paper examining the impact of efficient internal capital markets (e.g., Rajan et al., 2000). In measuring internal capital markets’ efficiency, I try to replicate more recent studies such as Sudip Datta, Ranjan D’Mello, and Mai Iskandar-Datta (2009) paper titled “Executive compensation and internal capital market efficiency.” However, I come across two main issues:

1. I am unable to even come close to the final number of observations in that paper (e.g., I get a way smaller sample size which is 434 firm-year observations instead of 2,046 firm-year observations). 

2. When I calculate the three measures of internal capital market efficiency (RVIA, RVA, AVA), I get the same mean and median for each measure. In other words, the mean RVIA = mean RVA = mean AVA. Similarly, median RVIA = median RVA = median AVA.

I don't know where I went wrong and I would appreciate your feedback and guidance.

 

Thank you.