2015/2016
KAN-CFIVO1005U Empirical Finance
| English Title |
| Empirical Finance |
|
|
| Language |
English |
| Course ECTS |
7.5 ECTS |
| Type |
Mandatory |
| Level |
Full Degree Master |
| Duration |
One Semester |
| Start time of the course |
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)
|
| Contact information:
https://e-campus.dk/studium/kontakt |
| Main academic
disciplines |
- Finance
- Statistics and quantitative methods
|
|
Last updated on
07-07-2015
|
| Learning objectives |
To achieve the grade 12, students
should meet the following learning objectives with no or only minor
mistakes or errors: 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
|
| Examination |
|
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 |
| Duration |
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 |
Spring, 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 will include a minumum of 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
07-07-2015
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