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2018/2019  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
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
  • Lena Jaroszek - Department of Finance (FI)
Main academic disciplines
  • Finance
  • Statistics and quantitative methods
Teaching methods
  • Face-to-face teaching
Last updated on 20-06-2018

Relevant links
Learning objectives
  • Understand current and historical facts about the fundamental financial markets variables that are relevant for financial decision-making in many contexts (e.g., the market risk premium, P/E ratios)
  • Use financial data and finance theory to make investment and corporate finance decisions
  • Apply many of the core models used in financial econometrics and understand some of their key advantages and shortcomings
  • Critically evaluate information from the business press and financial market news
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 Oral group exam based on written group product
Number of people in the group 3-4
Size of written product Max. 15 pages
Assignment type Written assignment
Duration
Written product to be submitted on specified date and time.
15 min. per student, including examiners' discussion of grade, and informing plus explaining the grade
Grading scale 7-step scale
Examiner(s) Internal examiner and external examiner
Exam period Spring
Make-up exam/re-exam
Same examination form as the ordinary exam
Description of the exam procedure

Students write a report based on a specific assignment formulated by the teacher.


 
Course content and structure

Financial markets provide vast amounts of data that can be highly informative for financial decisions. This course provides an introduction to the analysis of financial data using quantitative techniques. Students will apply such techniques to address practical financial applications. The course will build skills that allow course participants to transform such data into decision-relevant information. Finally, students will learn to interpret financial information using finance theory. This course provides a framework for making sound financial decisions and it focuses on applying the main concepts of finance theory.
The emphasis is on a practical approach: In class problems, exercise lessons, and in particular by solving a group assignment, students learn to apply models and methods in a hands-on fashion to real problems, and simultaneously highlight their limitations in real situations.
Examples of topics covered are: the trade-off between risk and return, market efficiency, return predictability, the capital asset pricing model.
Description of the teaching methods
Teaching methods
Lectures are supplemented with in-class problems. Furthermore, the course will be accompanied by an introductory lesson on statistics software, and exercise sessions for which students prepare problems and discuss them during the exercise session. On top, the course includes a voluntary assignment to be solved in groups of 3-4 students. The assignment requires students to write their own procedures and to use real market data, which will help to truly appreciate the content of the course and prepare for the graded take-home assignment. The assignment includes theoretical considerations, programming (in Excel and Stata), working with real financial data, and writing a report.

This course assumes a working knowledge of statistics. Students must also be willing to work with Stata.
Feedback during the teaching period
During the course students have several opportunities to gather feedback: Most importantly, the lecturer offers feedback on the voluntary assignments handed in before the due date. Taking turns, some students will be asked to present their solutions during the exercise classes, especially for the case of the voluntary assignment, which allows for feedback among students (peer feedback). Furthermore, lectures are supplemented with in-class quizzes that allow students to assess their knowledge and understanding of the materials covered. It is always possible to raise questions on the content and concepts during class. Where appropriate, lecture slides link to small tutorials covering specific aspects of a lecture which students might want to review at their own pace. Apart from the activities during class, the lecturer encourages active discussion via the forum on CBS Learn. Students are invited to meet the lecturer during office hours which are offered on a weekly basis.
Student workload
Lectures 33 hours
Preparation for lectures 66 hours
Exercise sessions 8 hours
Preparation for exercise sessions 24 hours
Voluntary assignment 16 hours
Written part of exam 24 hours
Preparations for exam 30 hours
Oral part of exam 1 hours
Preparation for oral exam 6 hours
Expected literature

The course is based on the textbook by Campbell, Lo, and MacKinlay: “The Econometrics of Financial Markets;" 1997, Princeton Univ. Press.

Supplementary materials are lecture notes, articles as well as another textbook of which only a few chapters are relevant:

Cuthbertson and Nitzsche: “Quantitative Financial Economics;" 2nd ed., 2004, Wiley.
Last updated on 20-06-2018