Empirical Finance (U00263)

? Credit Points : 20 ? SCQF Level : 10 ? Acronym : MSE-4-EF

The field of finance has become more quantitative and empirical thanks to availability of high-frequency data and advanced computer technology. Globalisation, liberalisation and integration of national economies and financial markets lead to testing theoretical models of finance in different settings.

The course aims at providing students with basic empirical methodologies of modern finance theory and comparative international results of empirical work. It also focuses on econometrics of financial markets. Topics to be covered include use of summary statistics and distributional properties in time series analysis of financial data, empirical portfolio selection, empirical tests of single and multi-factor asset pricing models and derivative instruments, empirical tests of informational efficiency, empirical tests of capital market integration, modelling and forecasting volatility and its term structure in financial markets, basic forecasting techniques in financial markets and forecast evaluation, empirical market microstructure, and empirical tests of performance measurement.

Entry Requirements

? Pre-requisites : Principles of Finance (BS0003)

? Costs : None.

Subject Areas

Home subject area

Business Studies, (Management School and Economics, Schedule H)

Delivery Information

? Normal year taken : 4th year

? Delivery Period : Not being delivered

? Contact Teaching Time : 2 hour(s) per week for 10 weeks

All of the following classes

Type	Day	Start	End	Area
Lecture	Monday	11:10	13:00	Central

Summary of Intended Learning Outcomes

Knowledge and Understanding: On completion of the course, students should:
- understand arguments and debates concerning the advanced topics in modern finance theory;
- have developed their understanding of certain methods of quantitative and empirical research in finance;
- have a knowledge of aspects of the practical applications.
Cognitive Skills: On completion of the course, students should:
- have developed their ability to understand complex lines of argument and reasoning of the sort found in journal papers in finance;
- have developed their ability to identify econometric and empirical problems in finance and remedial measures.