Advanced Empirical Financial Research
The course aims to enhance students’ capability in understanding and assessing prior empirical research in finance, applying the models and methods they have learnt on new problems, and carrying out their own empirical analysis. Methods to be introduced in the course include panel data models, limited dependent variable regressions, multifactor pricing models and volatility and correlation modelling.
The course focuses on the use of these methods for topics including empirical asset pricing, corporate default and credit rating, household financial decisions, and financial market policy effects. Being highly practical, the course prepares students for writing master thesis in finance.
Teaching Format
The teaching consists of lectures and computer labs and requires a significant portion of self-study on the part of students.
The language of instruction is English. The teaching takes place on campus and online. For more detailed course information, see the study guide, published on the learning platform no later than one month before the course commences.
Assessment
Assessment for the course will be continuous and is carried throughout the different course activities. Each assessment task is weighted in relation to its importance in the overall assessment of the course. The student’s results from the different assessment tasks are added up to a total course score that will then translate into the final grade for the course.
Assessment tasks
The course contains the following weighted assessment tasks:
1. Individual final examination: assesses intended learning outcomes 1–6; constitutes 80% of total course points.
2. Five computer lab assignments: assess intended learning outcomes number 1–4; constitute 20% of total course points. Each computer lab assignment constitutes 4% of total course points.
The examination is conducted in English
Coursecoodrinator: coursecoordinator@sbs.su.se
Head of course: Lu Liu
