Course Description
Econometric and empirical methodologies used in financial research. Students gain experience in performing rigorous empirical analyses using financial data. Covered topics include methods relevant to both asset pricing and corporate finance.
Athena Title
Financial Research Methodology
Prerequisite
FINA 9120 and ECON 8080
Semester Course Offered
Offered every year.
Grading System
A - F (Traditional)
Course Objectives
This course introduces students to econometric and empirical methodologies used in financial research. The primary aim of the course is to prepare students to conduct rigorous, original empirical research in finance and related fields. The course reviews relevant econometric methodology and incorporates assignments and research projects involving application of techniques to actual data. Students gain exposure to software used to execute empirical analyses in finance. In addition to standard methods, the course introduces a selected set of recently developed, “cutting edge” techniques. Covered topics include methods relevant to both asset pricing and corporate finance.
Topical Outline
1.Review of Key Econometrics Results 2.Financial Time Series and Linear Time Series Analysis 3.Volatility Modeling 4.Dynamic Regression Models and Predictive Regressions in Finance 5.Multivariate Time Series Analysis and Financial Applications 6.State-space Models, Filtering, and Related Topics 7.Testing and Evaluating Asset Pricing Models 8.Linear Panel Data Models in Finance 9.Event Study Methodology 10.Endogeneity in Empirical Corporate Finance 11.Additional Selected Topics
Syllabus