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 CMSE11086 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 |
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
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 assessment.
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Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
|
Co-requisites | |
| Prohibited Combinations | |
Other requirements | None |
Course Delivery Information
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| Academic year 2022/23, Not available to visiting students (SS1)
|
Quota: None |
| Course Start |
Semester 2 |
Timetable |
Timetable |
| Learning and Teaching activities (Further Info) |
Total Hours:
200
(
Lecture Hours 10,
Seminar/Tutorial Hours 14,
Summative Assessment Hours 2,
Programme Level Learning and Teaching Hours 4,
Directed Learning and Independent Learning Hours
170 )
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| Assessment (Further Info) |
Written Exam
50 %,
Coursework
50 %,
Practical Exam
0 %
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| Additional Information (Assessment) |
50% mid-course exam (individual) - assesses course Learning Outcomes 1, 2, 3
50% coursework (individual) - assesses all course Learning Outcomes |
| Feedback |
Formative: feedback is provided through tutorial sessions.
Summative: feedback is provided on assessment.
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| Exam Information |
| Exam Diet |
Paper Name |
Hours & Minutes |
|
| Outwith Standard Exam Diets March | Quantitative Research Methods in Finance (CMSE11463): Mid-Course Exam | 2:00 | |
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, J. (2015), Introductory Econometrics: A Modern Approach, 6th edition, Thomson
Resource List:
https://eu01.alma.exlibrisgroup.com/leganto/public/44UOE_INST/lists/28861754200002466?auth=SAML |
Additional Information
| Graduate Attributes and Skills |
Communication, ICT, and Numeracy Skills
After completing this course, students should be able to:
Critically evaluate and present digital and other sources, research methods, data and information; discern their limitations, accuracy, validity, reliability and suitability; and apply responsibly in a wide variety of organisational contexts. |
| Keywords | Not entered |
Contacts
| Course organiser | Dr Maria Boutchkova
Tel: (0131 6)51 5314
Email: Maria.Boutchkova@ed.ac.uk |
Course secretary | Miss Abi Lawson
Tel:
Email: Abigail.Lawson@ed.ac.uk |
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