AU kursuskatalog arkiv

4091: Empirical Finance ( forår 2009 - 10 ECTS )

Rammer for udbud

• Uddannelsessprog: engelsk
• Niveau: COURSE LEVEL: Optional BSc and MSc course.  
• Semester/kvarter: SEMESTER FOR WHICH THE COURSE DESCRIPTION APPLIES: Spring 2009.  
• Timer per uge: NUMBER OF HOURS PER WEEK: 4 hours.  
• Deltagerbegrænsning: RESTRICTIONS ON ADMISSION: None.  
• Undervisningssted: Århus
• Hovedområde: Det Samfundsvidenskabelige Fakultet
• Udbud ID: 15624

Formål

LEARNING OBJECTIVES:

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

COURSE DESCRIPTION:

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. Behavioral 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

REQUIRED COURSES:

7020: Econometrics (5.semester). Students are supposed
to have some experience with at least one econometrics software program.

Underviser

LECTURER:

Tom Engsted and Thomas Q. Pedersen (25 p.c.)

Undervisnings- og arbejdsform

TEACHING METHOD:

Lectures and exercises based on data from the financial markets.

Litteratur

LITERATURE:

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

Journal articles:

Asness, C. (2000): Bubble logic: Or, how to learn to stop worrying and love the bull. AQR Capital management LLC Working Paper, Social Science Research Network.

Carhart, M.M. (1997): On persistence in mutual fund performance. Journal of Finance 52, 57-82.

Fama, E.F. & K.R. French (1996): Multifactor explanations of asset pricing anomalies. Journal of Finance 51, 55-84.

Fama, E.F. & K.R. French (2004): The capital asset pricing model: Theory and evidence. Journal of Economic Perspectives 18, 25-46.

Kocherlakota, N. (1996): The equity premium: it's still a puzzle. Journal of Economic Literature 34, 42-71.

Lewellen, J. (2004): Predicting returns with financial ratios. Journal of Financial Economics 74, 209-235.

MacKinlay, A.C. (1997): Event studies in economics and finance. Journal of Economic Literature 35, 13-39.

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

FORM OF ASSESSMENT:

Written 4-hour exam.

EXAMINATION AIDS ALLOWED: None