教學大綱 Syllabus

科目名稱:財務計量研討

Course Name: Seminar on Financial Econometrics

修別:必

Type of Credit: Required

3.0

學分數

Credit(s)

5

預收人數

Number of Students

課程資料Course Details

課程簡介Course Description

This course is to introduce empirical econometrics issues for finance-related topics including corporate finance and asset pricing. Students will be exposed to a broad overview of modern finance and econometrics.

核心能力分析圖 Core Competence Analysis Chart

能力項目說明


    課程目標與學習成效Course Objectives & Learning Outcomes

    The goal will be accomplished by carefully reading published research papers. This course will be conducted primarily as a seminar with lectures given by me and the students. When a student is asked to present a paper, the student will be required to present as if he/she was the author. The discussion leader is not only to summarize the papers but also to help facilitate an in-depth understanding of the methodological innovations and problems. In addition, practical issues, such as data collecting, data manipulation, and data analysis, are also introduced. Students are expected to apply the empirical techniques learned in class to actual stock price data. By the end of this course, every student should replicate a research paper in one of the leading journals.

    每周課程進度與作業要求 Course Schedule & Requirements

    教學週次Course Week 彈性補充教學週次Flexible Supplemental Instruction Week 彈性補充教學類別Flexible Supplemental Instruction Type

    Term Project

    1. Please select a research paper published in one of the leading finance journals (Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis).
    2. Please collect data from the database and replicate all tables in the selected paper.
    3. Please compare the results shown in the paper and your results and discuss potential problems if they are different.

    * Students can choose replicated papers on their own. I will verify the papers in Meeting 9.

     Schedule of the Course:

    Note: I will adjust this schedule to meet the needs of the class. Please refer to the e-Learning (WM5) for scheduling updates.

    1. Meeting 1 (preperation & review: 6 hrs)
    • Course Overview
    • Lecture: Ordinary Least Square, Maxima Likelihood Estimation, and Generalize Least Square 
    1. Meeting 2 (preperation & review: 6 hrs)
    • Lecture: Capital Asset Pricing Model - How to test CAPM?
    • Paper 1: Fama, E. F and J. D. MacBeth, 1973. Risk, return, and equilibrium: Empirical tests. Journal of Political Economy 81, 607-636.
    • Lecture: Capital Asset Pricing Model - Problems in CAPM tests
    1. Meeting 3 (preperation & review: 6 hrs)
    • Lecture: Factor Models Pricing factors (Arbitrage pricing theory)
    • Paper 2: Fama, E. F. and K. R. French, 1992. The crosssection of expected stock returns. Journal of Finance 47, 427465.
    • Paper 3: Fama, E. F. and K. R. French, 1993. Common risk factors in the returns on stocks and bonds. Journal of Finance 33, 3-56.
    1. Meeting 4 (preperation & review: 6 hrs)
    • Paper 4: Fama, E. F. and K. R. French, 2015. A five-factor asset pricing model. Journal of Financial Economics 116, 1-22.
    • Paper 5: Daniel, K., D. Hirshleifer, and L. Sun, 2020. Short- and long-horizon behavioral factors. The Review of Financial Studies 33, 1673-1736.
    • Lecture: Fama & French 3-factor model and Fama & French 5-factor model
    • SAS program 1: Basic commends
    1. Meeting 5 (preperation & review: 6 hrs)
    • Lecture: Market Efficiency Efficient market hypothesis
    • Lecture: Market Efficiency How to test efficient market hypothesis? – Event study
    • SAS program 2: Data manipulation (combining CRSP and Compustat)
    1. Meeting 6 (preperation & review: 6 hrs)
    • Paper 6: Ikenberry D., J. Lakonishok, and T. Vermaelen, 1995. Market underreaction to open market share repurchases. Journal of Financial Economics 39, 181208.
    • Lecture: Market Efficiency Financial anomalies
    • Lecture: Return Decomposition
    • Paper 7: Jegadeesh, N. and S. Titman, 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance 48, 6591.
    • SAS program 3: Event Study
    1. Meeting 7 (preperation & review: 6 hrs)
    • Lecture: Return Decomposition
    • Paper 8: George, T. J., and C. Y. Hwang, 2004. The 52week high and momentum investing. Journal of Finance 59, 21452176.
    • Paper 9: Da, Z., U. G. Gurun, and M. Warachka, 2014. Frog in the pan: Continuous information and momentum. Review of Financial Studies 27, 21712218.
    • SAS program 4: Data manipulation (momentum strategies)
    1. No Class
    2. Meeting 8 (preperation & review: 6 hrs)
    • Replicated paper decided
    • Paper 10: Bali, T. G., N. Cakici, and R. F. Whitelaw, 2011. Maxing out: Stocks as lotteries and the crosssection of expected returns. Journal of Financial Economics 99, 427446.
    • Paper 11: Barinov, A., 2018. Stocks with extreme past returns: Lotteries or insurance? Journal of Financial Economics 129, 458-478.
    • Econometric Issues: Economic significance
    • SAS application 1: Standard regression coefficient, marginal effects in logit model
    1. Meeting 9 (preperation & review: 6 hrs)
    • Lecture: Mutual Funds Fund flows and Fund performance
    • Paper 12: Sirri E. R. and P. Tufano, 1998. Costly search and mutual fund flows. Journal of Finance 53, 15891622.
    • Paper 13: Harris, L. E., and S. M. Hartzmark, and D. H. Solomon, 2015. Juicing the dividend yield: Mutual funds and the demand for dividends. Journal of Financial Economics 116, 433-451.
    1. Meeting 10 (preperation & review: 6 hrs)
    • Lecture: Mutual Funds – Survivorship
    • Paper 14: Jayaraman, N., A. Khorana, and E. Nelling, 2002. An analysis of the determinants and shareholder wealth effects of mutual fund managers. Journal of Finance 57, 15211551.
    • Paper 15: Carhart, M, M., J. N. Carpenter, A. W. Lynch, and D. K. Musto, 2002. Mutual fund survivorship. The Review of Financial Studies 15, 1439-1463.
    • SAS application 2: Peicewise linear model, quantile regression
    1. Meeting 11 (preperation & review: 6 hrs)
    • Lecture: Mutual Funds: Manager and investor skills
    • Paper 16: Hoberg, G., N. Kumar, and N. Prabhala, 2018. Mutual fund competition, managerial skill, and alpha persistence. Review of Financial Studies 31, 18961929.
    • Paper 17: Choi, D., B. Kahraman, and A. Mukherjee, 2016. Learning about mutual fund managers. Journal of Finance 71, 28092860.
    • SAS application 3: Censored life regression, survivorship model
    1. Meeting 12 (preperation & review: 6 hrs)
    • Econometric Issues: Heterogeneity, Fixed effects, clustering effects
    • Paper 18: Petersen M. A., 2009. Estimating standard errors in finance panel data sets: Comparing approaches. Review of Financial Studies 22, 435-480.
    • Paper 19: Choi, Jaewon, S. Hoseinzade, S. S. Shin, and H. Tehranian, 2020. Corporate bond mutual funds and asset fire sales. Journal of Financial Economics 138, 432-457.
    • SAS application 4: Fixed effects model, clustering effects model
    1. Meeting 13 (preperation & review: 6 hrs)
    • Econometric Issues: Endogeneity (2sls, exogenous shock, difference in difference)
    • Paper 20: Shi, Z., 2017. The impact of portfolio disclosure on hedge fund performance. Journal of Financial Economics 126, 36-53.
    • Paper 21: Eisele, A., T. Nefedova, G. Parise, and K. Peijenburg, 2020. Trading out of sight: An analysis of cross-trading in mutual fund families.  Journal of Financial Economics 135, 359-378.
    • SAS application 5: Two stage least square (2SLS)
    1. Meeting 14 (preperation & review: 6 hrs)
    • Econometric Issues: Sample selection bias
    • Paper 22: Moreno, D., R. Rodriguez, and R. Zambrana, 2018. Management sub-advising in the mutual fund industry. Journal of Financial Economics 127, 567-587.
    • Paper 23: Bonaime, A., and M. Ion, 2018. Does policy uncertainty affect mergers and acquisitions? Journal of Financial Economics 129, 531-558.
    • SAS application 6: Heckman model
    1. Meeting 15 (preperation & review: 6 hrs)
    • Project discussion
    1. Meeting 16 (preperation & review: 6 hrs)
    • Project discussion
    1. Meeting 17 (preperation & review: 6 hrs)
    • Project presentation

    授課方式Teaching Approach

    30%

    講述 Lecture

    50%

    討論 Discussion

    20%

    小組活動 Group activity

    0%

    數位學習 E-learning

    0%

    其他: Others:

    評量工具與策略、評分標準成效Evaluation Criteria

    Class Participation             50%

    Term Project                      50%

    指定/參考書目Textbook & References

    1. Journal papers in Journal of Finance, Journal of Financial Economics, Review of Financial Studies, and Journal of Financial & Quantitative Analysis.
    2. Cochrane, J., 2005, Asset Pricing 2nd edition, Princeton University Press.
    3. Campbell, Lo, and MacKinley, 1997, The Econometrics of Financial Markets, Princeton University Press.
    4. Lee, C. F., H. Y. Chen, and John Lee, 2019. Financial Econometrics, Mathematics, and Statistics: Theory, Method, and Application, Springer.
    5. Copeland, Thomas E. and J. Weston, 2005, Financial Theory and Corporate Policy, 4th edition, Addison-Wesley Publishing Company
    6. Bodie Z., A. Kane, and A. J. Marcus, 2014, Investments 10th edition, McGrow- Hill Irwin.

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