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2021/2022  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
  • Blended learning
Last updated on 18-06-2021

Relevant links

Learning objectives
  • Interpretation: Ability to accurately explain information presented quantitatively (e.g., equations, graphs, diagrams, tables, words). Draw appropriate inferences based on that information.
  • Representation: Convert relevant information into a quantitative representation in a way that contributes to a deeper understanding.
  • Calculation: Obtain correct and clear calculations to solve empirical finance questions.
  • Analysis: Ability to make judgments and draw appropriate conclusions based on the quantitative analysis of data, while recognizing the limits of this analysis.
  • Communication: Expressing quantitative evidence to test a hypothesis using clear and complete arguments.
Prerequisites for registering for the exam (activities during the teaching period)
Number of compulsory activities which must be approved (see section 13 of the Programme Regulations): 1
Compulsory home assignments
The student must get 1 out of 2 assignments approved in order to attend the ordinary exam. The students work in groups of 3 or 4. For each assignment, the group hands in a report (their answers to the questions stated in the assignment) of at most 3 pages per student.

Students will not have extra opportunities to get the required number of compulsory activities approved prior to the ordinary exam. If a student has not received approval of the required number of compulsory activities or has been ill, the student cannot participate in the ordinary exam.
If a student prior to the retake is still missing approval for the required number of compulsory activities and meets the pre-conditions set out in the program regulations, an extra assignment is possible.

The extra assignment is a 10 page home assignment that will cover the required number of compulsory activities. If approved, the student will be able to attend retake.
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, see also the rules about examination forms in the programme regulations.
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. 10 pages
Assignment type Written assignment
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-point grading 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, structure and pedagogical approach

Financial markets provide vast amounts of data that can be 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 is two thirds in-class, and one third online. Online lectures allow students to proceed with material at their own pace and review the materials multiple times if needed. In-class meetings are mostly in the beginning of the course where more direct interaction is needed. Classes are supplemented with programming and quizzes.
The course starts with an introductory lesson on statistics software, programming skills are deepened in exercise sessions for which students prepare problems and discuss them during the exercise session. On top, the course includes mandatory assignments to be solved in groups of 3-4 students. The assignment requires students to program their own procedures and to use real market data, which will help to appreciate the content of the course and prepare for the graded take-home assignment. The assignment includes theoretical considerations, programming (in Stata or other statistical software), working with real financial data, and writing reports.

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 instructor offers individual feedback on the assignments. Furthermore, in-class and online quizzes allow students to review their knowledge and understanding of the materials covered. It is always possible to raise questions about the materials 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 Canvas. Office hours take place in the format of online Q&A sessions that allow a wider participation of students.
Student workload
Lectures 33 hours
Preparation for lectures 66 hours
Exercise sessions 10 hours
Preparation for exercise sessions 40 hours
Assignments 8 hours
Written part of exam 16 hours
Preparations for exam 26 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 18-06-2021