Empirical Finance

2018-2019
Dit vak wordt in het Engels aangeboden. Omschrijvingen kunnen daardoor mogelijk alleen in het Engels worden weergegeven.

Doel vak

The student is able to:
1) translate a financial research question into a modelling equation
that can be operationalized for statistical or mathematical analysis.
2) Apply various empirical models and methods - ranging from linear
regression, maximum likelihood, time series models and forecasting – on
empirical data, using statistical software
3) Report the results of his/her analysis clearly according to academic
standards.

Inhoud vak

This course offers students the opportunity to study advanced empirical
research methods in finance. The objective is to increase the students'
ability to understand and to apply empirical methods in finance. The
course represents an integration of theory, methods and examples. We use
STATA as our standard software. The aim of the course is to enable
students to undertake their own quantitative research projects in
practice.
The course concentrates on the following methodologies: regression
models, panel data, endogeneity and instrumental variables, non-linear
models, logit / probit, credit risk, time series models, volatility
models (GARCH), forecasting.

Onderwijsvorm

The first week there is an introductory computer lab session to get
familiar with the software used in class, STATA. There are two lecture
sessions each week for six weeks. Next to this, there is a lab session
each weak in smaller groups.
The programme consists of lectures, classroom discussions, case work,
and computer exercises. Students are expected to actively participate in
all classroom discussions. The purpose of the compulsory case work is to
give students the practical skills for solving empirical finance
problems.

Toetsvorm

There is a final written exam (70 percent; minimum grade 5.0 to pass the
course).
An important part of this course is also the case work (30 percent). The
case has been developed in close cooperation with a partner company. The
aim of the case is to give you insight into what might be expected of
you in your first job in the role of a model builder for financial
decision making. Not only will you apply your methodological tools, but
you will also practice team work, reporting skills, and the skill to
look for the managerial implications of what you have done.

Vereiste voorkennis

Students should have a sound knowledge of introductory mathematics
(including linear algebra) and statistics at the bachelor economics
level and be familiar with key concepts of corporate finance,
investments and financial markets.

Indication of entry level:
Sydsaeter and Hammond (2006, Prentice Hall): Essential Mathematics for
Economic Analysis.
Business Statistics Berenson, Levine, Krehbiel (2002): Basic Business
Statistics.
Brealey and Myers (2002): Principles of Corporate Finance, 7th ed.
Bodie, Kane, and Marcus (1996): Investments.

Literatuur

Book: Introductory Econometrics for Finance, 2nd Edition, Chris Brooks,
Cambridge University Press.
Slides and lecture notes.
Relevant academic papers (to be indicated at the start of the course).

Doelgroep

MSc Finance

Aanbevolen voorkennis

Core courses Advanced Corporate Finance (4.1) and Asset Pricing (4.1).

Algemene informatie

Vakcode E_FIN_EF
Studiepunten 6 EC
Periode P2
Vakniveau 400
Onderwijstaal Engels
Faculteit School of Business and Economics
Vakcoördinator dr. A. Opschoor
Examinator dr. A. Opschoor
Docenten dr. A. Opschoor

Praktische informatie

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