Courses Master Display 2018-2019

Course Description To PDF
Course title Empirical Analysis of Financial Markets
Course code EBC4010
ECTS credits 6,5
Assessment None
Period
Period Start End Mon Tue Wed Thu Fri
5 15-4-2019 7-6-2019 X X
Level Advanced
Coordinator Peter Schotman
For more information: p.schotman@maastrichtuniversity.nl
Language of instruction English
Goals
The purpose of the course is to provide students with an overview of empirical methods and stylised facts that will enable them to make their own assessment of events on financial markets.
Description
In this course we consider in depth the fluctuations of stock prices. The purpose of the course is to provide you with an overview of recent empirical research in asset pricing and portfolio management. How are theoretical models of asset pricing being tested in practice? What are the strengths and weaknesses of various methodologies? What kind of statistical techniques are used?

A second aim of the course is to let you gain some experience in doing empirical research. An important aspect of the course is learning about the characteristics of stock returns by doing a small research project. The research projects are concerned with predictability of stock returns and the profitability of various trading strategies based on (seeming) anomalies. At the end of the course you should be able to make your own assessment about events on financial markets. Are reported superior returns pure chance, statistical illusion, a reward for risk or really an anomaly?
Literature
recent research papers - recent journal articles
Prerequisites
Knowledge of basics of asset pricing and portfolio management, and linear regression models. Exchange students need to have obtained a Bachelor degree in economics or business administration, and sufficient quantitative background. Exchange students need to major in finance in their master.
An advanced level of English
Teaching methods (indicative; course manual is definitive) PBL / Presentation / Lecture / Assignment / Groupwork
Assessment methods (indicative; course manual is definitive) Final Paper / Participation / Written Exam
Evaluation in previous academic year For the complete evaluation of this course please click "here"
This course belongs to the following programmes / specialisations
Master Business Research Free Electives
Master Business Research - Operations Research Free Electives
Master Econometrics and Operations Research Econometrics
Master Econometrics and Operations Research Econometrics & OR Electives
Master Economic and Financial Research - Econometrics Electives
Master Economic and Financial Research - Econometrics Track Econometrics Core Courses
Master Economic and Financial Research Electives
Master Financial Economics Asset Pricing
Master Financial Economics Electives
Master Financial Economics Financial Analysis
Master Human Decision Science Electives
SBE Exchange Master Master Exchange Courses
SBE Non Degree Courses Master Courses