Provides an understanding of the methods used in empirical asset pricing and financial econometrics, preparing students for independent research and finance industry careers.
The aim of this course is to deliver the knowledge on two major areas in Empirical Finance namely, Empirical Asset Pricing (Part 1) and Advanced Financial Econometrics (Part 2). Empirical asset pricing consists of a wide range of applications in investments and corporate finance, which will be essential to those students who are willing to enter the investment banking and corporate finance professions. Financial Econometrics helps students to empirically test theories; understand relationships between variables that can be used in research and are of interest for businesses and financial institutions.
|Paper title||Special Topic: Empirical Methods in Finance|
|Teaching period||Second Semester|
|Domestic Tuition Fees (NZD)||$1,079.88|
|International Tuition Fees (NZD)||$4,786.79|
- FINC 406
May not be credited with FINC 499 taken in 2018.
Recommended preparation: (FINC 308 or ECON 375) and two further 300 level FINC papers.
- Teaching staff
- Graduate Attributes Emphasised
- Information Literacy
- Independent Learning
- Critical Thinking
- Specialist Business Knowledge
- Written Communication
- Oral Communication
View more information about Otago's graduate attributes.
- More information link
View more information about this paper in the course outline.
- Paper Structure
The paper covers two key themes:
- Empirical Asset Pricing
- Advanced Financial Econometrics
- Course outline
- Teaching Arrangements
STATA software will be available for the students via Student Desktop platform to use during the lectures.
Bali, T. G., Engle, R. F., and Murray, S. (2016). Empirical Asset Pricing: The Cross Section of Stock Returns. John Wiley & Sons.
Carter Hill, R., Griffiths, William E., and Lim, G. C. (2018). Principles of econometrics, 5th ed. Wiley: Hoboken, NJ.
- Learning Outcomes
Students who successfully complete the paper will:
- Identify the sources of financial data (in particular, CRSP and Compustat) and know how to use them to construct corresponding investment factors (market beta, firm value, book-to-market ratio, etc.).
- Demonstrate the knowledge on investment analysis such as one-way and two-way portfolio sorting and Fama-Macbeth regression analysis
- Apply appropriate portfolio sorting and Fama-Macbeth regression analysis in solving financial investment problems in academic research and in practice (e.g. investment banks) by using STATA software.
- Understand the types and forms of data and identify the relevant sources (Bloomberg, DataStream, Yahoo Finance, etc.) to be used to perform an econometric analysis.
- Demonstrate the knowledge on econometric techniques such as generalized linear models, univariate and multivariate time series analysis, and panel data analysis.
- Apply appropriate econometric techniques in solving financial problems that arise in financial industry and real life and research using the STATA software.
- Demonstrate the ability to report, interpret and present the results obtained from an investment and/or econometric analysis.