Postgraduate Course: Quantitative Research Methods in Finance (CMSE11463)
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 | 20 |
ECTS Credits | 10 |
| Summary | The course builds on the semester 1 course Statistics for Finance and provides an introduction to some econometric techniques commonly-used in empirical finance research. The first part of the course provides a deeper treatment of Ordinary Least Squares and its assumptions. The second part of the course covers various econometric techniques through their applications in contemporary finance research. |
| Course description |
At the end of this course you will learn how to apply a number of classical empirical methods in finance by replicating research based on selected studies in finance. This will provide an introduction to some practical tools of research using real data. Through coursework assessment, students will learn how to present empirical results through report writing and informative graphs/tables. These skills are essential for successfully writing a good quality postgraduate dissertations. Analytical and critical thinking skills obtained through this course are particularly relevant for those wishing to pursue a career in the finance industry.
Topics covered in this course include multiple regression analysis, ordinary least squares, statistical inference, dummy variables, interaction terms, heteroskedasticity and autocorrelation in the error term, panel data, event study, and basic asset pricing tests.
Student Learning Experience
Weekly lectures and weekly tutorials. The tutorials will be a combination of theoretical exercises and STATA based problems. Support sessions will also be available to help students keep track of their progress on their coursework assessment.
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Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
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Co-requisites | |
| Prohibited Combinations | |
Other requirements | None |
Course Delivery Information
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| Academic year 2020/21, Not available to visiting students (SS1)
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Quota: None |
| Course Start |
Semester 2 |
Timetable |
Timetable |
| Learning and Teaching activities (Further Info) |
Total Hours:
200
(
Lecture Hours 20,
Seminar/Tutorial Hours 20,
Programme Level Learning and Teaching Hours 4,
Directed Learning and Independent Learning Hours
156 )
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| Assessment (Further Info) |
Written Exam
0 %,
Coursework
100 %,
Practical Exam
0 %
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| Additional Information (Assessment) |
Individual Assignment 100% |
| Feedback |
Students are strongly encouraged to obtain feedback by asking/answering questions in class, and participating in the discussion forum. |
| No Exam Information |
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 the 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.
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| Special Arrangements |
For Business School PG students only, or by special permission of the School. Please contact the course secretary. |
| Keywords | Not entered |
Contacts
| Course organiser | Dr Maria Boutchkova
Tel: (0131 6)51 5314
Email: Maria.Boutchkova@ed.ac.uk |
Course secretary | Mrs Kelly-Ann De Wet
Tel: (0131 6)50 8071
Email: K.deWet@ed.ac.uk |
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