Type of Credit: Elective
Credit(s)
Number of Students
This course offers a rigorous introduction to empirical econometrics with a specific focus on finance, covering essential topics in corporate finance and asset pricing. It is designed to equip students with a deep understanding of econometric techniques applicable to financial data analysis.
Structured as a series of detailed lectures, I will guide students through the complexities of modern financial theories and empirical methods. Students will engage practically with major financial databases such as CRSP, COMPUSTAT, I/B/E/S, SDC, and Datastream. They will learn and apply a variety of empirical techniques, including regression analysis, event studies, and endogeneity tests to financial datasets. Practical sessions will focus on skills such as data collection, manipulation, and rigorous analysis, which are critical for understanding and executing empirical research in finance.
能力項目說明
This course is designed for graduate students in finance who are preparing to undertake empirical research, particularly for their master's theses. It aims to build a solid foundation of empirical skills and knowledge, enabling students to perform sophisticated financial analyses and contribute effectively to the field of finance. By the end of this course, students will be adept at employing advanced econometric methods in practical financial contexts.
| 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 |
|---|---|---|
1. Meeting 1
- Course overview
- Basic comments of SAS program
- Introduction to financial databases
2. Meeting 2
- Combining accounting information with price level data
- Static analysis
3. Meeting 3
- Event study and application examples
4. Meeting 4
- Economic significance
- Panel data analysis
- Model specification tests
5. Meeting 5
- Endogeneity issues
6. Meeting 6
- Empirical application
- Project discussions
Class Participation 50%
Term Project 50%
There is no required textbook for this course. Whereas, the following two references will be useful for students seeking deeper understanding and additional insights.
1. Journal papers in Journal of Finance, Journal of Financial Economics, Review of Financial Studies, and Journal of Financial & Quantitative Analysis.
2. Campbell, Lo, and MacKinley, 1997, The Econometrics of Financial Markets, Princeton University Press.