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2014/2015  KAN-CFIVO1005U  Empirical Finance

English Title
Empirical Finance

Course information

Language English
Course ECTS 7.5 ECTS
Type Mandatory
Level Full Degree Master
Duration One Semester
Course period Spring
Timetable Course schedule will be posted at calendar.cbs.dk
Study board
Study Board for MSc in Economics and Business Administration
Course coordinator
  • David Skovmand - Department of Finance (FI)
Main academic disciplines
  • Finance
  • Statistics and mathematics
Last updated on 04-07-2014
Learning objectives
Upon completion of this course, students should be able to:
  • Analyze and interpret financial market data using quantitative methods
  • Demonstrate knowledge of stylized empirical facts of financial markets
  • Apply and demonstrate understanding of econometric methods for estimation of models commonly used in empirical finance
Empirical Finance:
Exam ECTS 7,5
Examination form Oral exam based on written product

In order to participate in the oral exam, the written product must be handed in before the oral exam; by the set deadline. The grade is based on an overall assessment of the written product and the individual oral performance.
Individual or group exam Group exam, max. 4 students in the group
Individual oral examination over 20 minutes. The oral examination starts with the written report of the student but is extended to other topics considered in the course. Students write reports in groups of 3 or 4 based on a specific assignment formulated by the teacher. The students have 72 hours to hand in their reports from the announcement of the assignment.
Size of written product Max. 15 pages
Assignment type Report
Written product to be submitted on specified date and time.
20 min. per student, including examiners' discussion of grade, and informing plus explaining the grade
Preparation time No preparation
Grading scale 7-step scale
Examiner(s) Internal examiner and external examiner
Exam period May/June, Take-home assignment in April or early May. Oral exam in May.
Make-up exam/re-exam
Same examination form as the ordinary exam
Course content and structure
The purpose of the course is to give the student the ability to apply statistical methods in analysis of quantitative financial models. This involves the derivation of a model's empirical implications and testing them using actual data.  The aim is to give the student a thorough understanding of financial data as well as the advantages and limits of quantitative financial models. Topics include, but are not limited to; efficient markets and asset return predictability, event studies, testing linear factor models CAPM/APT, measuring and managing risk, and nonlinear phenomena.
Teaching methods
Lectures supplemented with exercises. Furthermore, the course includes two voluntary assignments to be solved in groups of 3-4 students. The lecturer offers feedback on the assignments. The assignments include theoretical considerations, programming (in R supplemented by Excel), working with real financial data, and writing a report.
Student workload
Lectures 33 hours
Preparation for lectures 66 hours
Voluntary assignments 64 hours
Written part of exam 24 hours
Oral exam and preparations for exam 19 hours
Expected literature
The syllabus uses Cuthbertson and Nitzsche: Quantitative Financial Economics; 2nd ed., 2004, Wiley, as its primary textbook.
Supplementary material from lecture notes, articles and
Campbell, Lo, and MacKinlay: The Econometrics of Financial Markets; 1997, Princeton Univ. Press. McNeil, Embrechts, and Frey: Quantitative Risk Management; 2005, Princeton Univ. Press.
Last updated on 04-07-2014