Courses Master Display 2015-2016
|Course Description||To PDF|
|Course title||Empirical Analysis of Financial Markets|
For more information: firstname.lastname@example.org
|Language of instruction||English|
The purpose of the course is to provide students with an overview of empirical methods and stylised facts that will enable to make their own assessment of events on financial markets.
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?
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?
recent research papers - recent journal articles
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||