Postgraduate Course: Quantitative Research Methods in Finance (CMSE11339)
Course Outline
| School | Business School |
College | College of Arts, Humanities and Social Sciences |
| Credit level (Normal year taken) | SCQF Level 11 (Postgraduate) |
Availability | Not available to visiting students |
| SCQF Credits | 15 |
ECTS Credits | 7.5 |
| Summary | The course builds on the semester 1 module Statistics for Finance and provides and introduction to some econometric techniques used in empirical research in finance. The first half of the course will be mostly theoretical whereas the second half will be applied. |
| Course description |
At the end of this module you will learn how to apply a number of classical empirical methods in finance by replicating research based on selected published papers. This will provide an introduction to some practical tools of research using real data and to the importance of concise writing and presentation of results using informative graphs and tables. Finally, during this module you will get further training on the econometric software STATA. These skills will be valuable for writing a good quality postgraduate dissertations and relevant for those wishing to pursue a career in the finance industry.
Syllabus
Theoretical part:
Multiple Regression Analysis with Cross-sectional Data: Estimation and Inference (Review)
Multiple Regression Analysis with Qualitative Information: Dummy Variables
Heteroskedasticity
Basic Regression Analysis with Time Series Data
Further Issues in Using OLS with Time Series Data
Autocorrelation
Applied part:
Event studies and market efficiency tests
Ownership, Control and Firm value
Basic empirical asset pricing tests
Combining time-series and cross-sectional data
Panel Data Methods
Student Learning Experience
Weekly lectures and weekly tutorials. The tutorials will be a combination of theoretical and exercises and STATA based problems. Computer-based tutorials will also be held and an extra session to help students make progress on the final project will be delivered by the end of the semester.
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Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
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Co-requisites | |
| Prohibited Combinations | |
Other requirements | For Business School PG students only, or by special permission of the School. Please contact the course secretary. |
Course Delivery Information
| Not being delivered |
Learning Outcomes
On completion of this course, the student will be able to:
- Present and critically interpret the results of statistical and econometric analysis of data.
- Understand and critically discuss some commonly used research methods and techniques in finance.
- Critically discuss important areas of current empirical research in finance.
- Set up a research question, develop and test hypotheses using real-world data.
- Use evidence to assess thee validity of theory and critically evaluate competing theoretical explanations.
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Reading List
Wooldridge, Jeffrey. Introduction to Econometric. Europe, Middle East and Africa Edition. Cengage Learning (this book is relevant for the first part of the course).
Additional articles will be listed on Learn as the course progresses (research articles are relevant for the second part of the course). |
Additional Information
| Graduate Attributes and Skills |
Cognitive Skills
After completing this course, students should be able to:
- Read, understand and use journal articles;
- Understand and develop skills to interpret financial data and the stylised facts therein;
- Develop skills for interpreting estimated economic relationships using statistical analysis;
- Understand the behaviour of economic and financial variable over time;
- Know how to present and interpret the results of statistical and econometric analysis of data;
- Have an understanding of some commonly used research methods used in current empirical research in finance;
- Get and introduction to important areas and models used in current empirical research in finance;
- Understand how to set up a research question, develop and test hypotheses using real-world data;
- Learn how to present data, perform econometric tests and present these and their economic implications.
Knowledge and Understanding
After completing this course, students should be able to:
- Know how to present and interpret the results of statistical and econometric analysis of data;
- Have an understanding of some commonly used research methods and techniques in finance;
- Get an introduction to important areas of current empirical research in finance;
- Understand how to set up a research question, develop and test hypotheses using real-world data;
- Use evidence to assess the validity of theory;
- Evaluate competing theoretical explanations.
Subject Specific Skills
After completing this course, students should be able to:
- Design and carry out an empirical project based on regression analysis through STATA;
- Execute quantitative finance academic research. |
| Keywords | Not entered |
Contacts
| Course organiser | Dr Maria Boutchkova
Tel: (0131 6)51 5314
Email: Maria.Boutchkova@ed.ac.uk |
Course secretary | Miss Yvonne Stewart
Tel: (0131 6)51 5333
Email: Yvonne.Stewart@ed.ac.uk |
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