Vær opmærksom på at dette website indeholder et arkiv med historiske data. Det aktuelle kursuskatalog findes på kursuskatalog.au.dk

AU kursuskatalog arkiv

[Forside] [Hovedområder] [Perioder] [Udannelser] [Alle kurser på en side]

Empirical Finance ( forår 2008 - 10 ECTS )

Rammer for udbud

  • Uddannelsessprog: (se under Undervisnings- og arbejdsform)
  • Niveau: Optional BSc and MSc course  
  • Semester/kvarter: Every second semester
  • Timer per uge: 4 hours
  • Deltagerbegrænsning: None
  • Undervisningssted: Århus
  • Hovedområde: Det Samfundsvidenskabelige Fakultet
  • Udbud ID: 10917

Formål

After following this course, students should be able to

·         evaluate and reflect upon empirical studies using financial markets data

·         apply basic econometric methods in analyzing prices and returns from financial markets

·         generalize the results from empirical analyses to financial market theories

Indhold

Empirical finance uses statistical and econometric methods to analyze observed prices and returns in financial markets. This includes, among other things, the estimation of expected returns on stocks, bonds and foreign exchange, tests of return predictability, the modeling of risk and risk-premia, performance evaluation of mutual funds, the determination of stock prices based on economic fundamentals (earnings, dividends, interest rates, etc.), the reaction of investors to news (including dividends and earnings announcements), the relation between prices on different assets, including the term structure of interest rates (the relation between interest rates on bonds with different maturities) and international interest rate parities.

 

COURSE SUBJECT AREAS:

1.       The efficient markets hypothesis

2.       Return predictability, variance ratio tests

3.       Tests of CAPM, APT and the Fama & French 3-factor model

4.       Performance evaluation of mutual funds

5.       Event studies

6.       Stock prices: tests of present value models, variance bounds tests

7.       Tests of consumption-based asset pricing models, the Equity Premium Puzzle

8.       Behavioural finance and anomalies

9.       The bond market and the term structure of interest rates, tests of the expectations hypothesis

10.   The foreign exchange market: tests of purchasing power parity, covered interest rate parity, and uncovered interest rate parity

11.   Market risk: measuring Value-at-Risk

Faglige forudsætninger

Econometrics (5.semester). Students are supposed to have some experience with at least one econometrics software program.

 

Underviser

Tom Engsted

Undervisnings- og arbejdsform

Lectures, and exercises based on data from the financial markets.

English

Litteratur

Cuthbertson, K. & D. Nitzsche: Quantitative Financial Economics: Stocks, Bonds & Foreign Exchange. 2.edition, 2004. John Wiley & Sons. Approx. 550 pages

 

Various journal articles. Approx. 200 pages

 

Lecture notes. Approx. 300 pages

 

Approx. 1050 pages in total

Studieordning og bedømmelse

Bacheloruddannelsen i økonomi

  • Skriftlig, bedømt efter 7-skala med intern censur

Grundfaget i erhvervsøkonomi

  • Skriftlig, bedømt efter 7-skala med intern censur


Written 4-hour exam.

 

EXAMINATION AIDS ALLOWED: None.