Dit vak wordt in het Engels aangeboden. Omschrijvingen kunnen daardoor mogelijk alleen in het Engels worden weergegeven.
Doel vakThe 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
Inhoud vakThis 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
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.
OnderwijsvormThe 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
or a tutorial 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
ToetsvormThere is a final written exam (70 percent; minimum grade 5.0 to pass the
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 voorkennisStudents 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
Business Statistics Berenson, Levine, Krehbiel (2002): Basic Business
Brealey and Myers (2002): Principles of Corporate Finance, 7th ed.
Bodie, Kane, and Marcus (1996): Investments.
LiteratuurBook: Introductory Econometrics for Finance, 4th Edition, Chris Brooks,
Cambridge University Press.
Slides and lecture notes.
Relevant academic papers (to be indicated at the start of the course).
Aanbevolen voorkennisCore courses Advanced Corporate Finance (4.1) and Asset Pricing (4.1).
|Faculteit||School of Business and Economics|
|Vakcoördinator||dr. A. Opschoor|
|Examinator||dr. A. Opschoor|
dr. A. Opschoor
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|Werkvormen||Werkcollege, Hoorcollege, Casecollege, Computerpracticum|
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