Empirical Finance (EMFI)

Course description



The objective of the course is to give students a thorough understanding of the most important research methods required for doing empirical analyses of financial data and for carrying out their bachelor thesis. The course begins with a brief discussion of the academic writing and the simple estimation methods, such as the OLS, maximum likelihood, which is followed by a description of the time series and time varying volatility of financial data. Thereafter, it gives a presentation of the most important theoretical models in finance that is accompanied by an explanation of the available methods for testing the theoretical hypotheses. The course concentrates on the following issues: OLS regression, Maximum Likelihood, Time series (Autoregressive models) and Stationarity test, Event Study, and tests for the CAPM model. The course consists of lectures, computer labs, seminars and a short project.



Intended Learning Outcomes
The aim of the course is to give students a thorough understanding of the most important research methods required for doing empirical analyses of financial data. Upon completion of the course, students should be able to:

Knowledge and understanding
1. Interpret the general format of writing an research proposal.
2. Describe the OLS regression.

Skills and abilities
3. Estimate financial models with OLS and Maximum Likelihood method
4. Perform a stationary test for financial time series
5. Perform an event study

Judgement and Approach
6. Critically evaluate the theoretical and empirical issues in the CAPM model applied in empirical finance

Please Note !


There will be no new admissions to this course.


Course title:
Empirical Finance
Semester: Spring term 2018
Study period: 2
Rate of studies: 100%
Level: Undergraduate level (first cycle)
Credits: 7.5
Language of instruction: English

Contact:


Course coordinator:
Doris Rehnström
Head of course:
Ai Jun Hou

Teachers: