Valid for: 2017/18
Decided by: PLED I
Date of Decision: 2017-04-10
Elective for: F5, I4, I4-fir, Pi4-fm
Language of instruction: The course will be given in English
The goal of the course is to develop the students’ understanding of empirical models in finance and their ability to apply the econometrical methods to test the models.
Knowledge and understanding
For a passing grade the student must
Students shall have developed a knowledge and understanding of
empirical models in finance. More specifically, students shall
have:
•a thorough understanding of the most important models in
finance,
•a thorough understanding of econometric techniques applied in
finance,
•an ability to understand and evaluate existing empirical work in
finance.
Competences and skills
For a passing grade the student must
Students shall have the ability to independently:
•apply econometric methods to test financial models,
•employ the methods and theories they have learnt to new problems
and to carry out their own empirical analyses,
•analytically handle quantitative empirical material and to use
scientific methods to analyse such material,
•identify interesting finance related problems in the real-world
and to utilise adequate methods and theories to analyse these
problems,
•present a clear and pedagogical report of their own and others'
empirical analyses.
Judgement and approach
For a passing grade the student must
Students shall have developed:
•the ability to pursue further studies in finance and
economics,
•the ability to independently search for and evaluate information
from literature within finance,
•the ability to independently write an empirical essay at the
master level.
The course begins with a brief discussion of estimation methods that can be used to analyse financial models. This is followed by a description of the time series properties of various financial data. The most important theoretical models in finance are then presented, accompanied by an explanation of the methods that are available for testing theoretical hypotheses. The course concentrates on the following issues: tests for information efficiency, market microstructure, event study, portfolio valuation, testing asset pricing models and fixed incomes. There are a number of computer exercises which give the students the practical skills necessary for solving econometric problems.
Grading scale: TH - (U,3,4,5) - (Fail, Three, Four, Five)
Assessment: Examination consists of a number of compulsory computer exercises, a home exam in the form of a short essay and a written exam that takes place at the end of the course. The final grade will be based on the written exam and the home exam. Other forms of examination may be used to a limited extent.
The examiner, in consultation with Disability Support Services, may deviate from the regular form of examination in order to provide a permanently disabled student with a form of examination equivalent to that of a student without a disability.
The number of participants is limited to: 60
Selection: Credits awarded or credited within the study programme.
The course overlaps following course/s: NEK722, NEKM26, NEKN82, TEK110
Course coordinator: Professor Hossein Asgharian, hossein.asgharian@nek.lu.se
Course homepage: http://www.nek.lu.se
Further information: Corresponds to NEKM26.