LEARNING OUTCOMES
By the end of the course, students will be familiar with various econometric methods for analyzing financial data; be able to implement these methods using the R language ( http://www.r-project.org/); know how to interpret statistical results correctly and draw appropriate conclusions; be able to critically evaluate empirical academic research in finance.
Credits: 6
Schedule: 03.11.2021 - 17.12.2021
Teacher in charge (valid for whole curriculum period):
Teacher in charge (applies in this implementation): Matthijs Lof
Contact information for the course (applies in this implementation):
CEFR level (valid for whole curriculum period):
Language of instruction and studies (applies in this implementation):
Teaching language: English. Languages of study attainment: English
CONTENT, ASSESSMENT AND WORKLOAD
Content
valid for whole curriculum period:
The course starts with a short review of the linear regression model. Students are expected to be already familiar with these concepts. The remainder of the course will cover topics in empirical finance research. These topics include methods to deal with endogeneity in corporate finance (e.g. instrumental variables, differences-in-differences), tools for time series analysis and forecasting (e.g. AR and VAR models, predictive regressions, out-of-sample forecasting), and modelling market volatility (e.g. GARCH, realized volatility). All topics will be illustrated by financial applications, including stock return predictability, empirical testing of the CAPM and other asset pricing models, and Value-at-Risk.
Assessment Methods and Criteria
valid for whole curriculum period:
Exercises (50%) and exam (50%)
Workload
valid for whole curriculum period:
Hybrid teaching 2021-2022.
Classroom hours, 24 h
Class preparation, 48 h
Preparing exercise sets, 50 h
Exam preparation, 37 h
Exam, 3 h
DETAILS
Study Material
valid for whole curriculum period:
Course material will be provided by the lecturer.
Substitutes for Courses
valid for whole curriculum period:
Prerequisites
valid for whole curriculum period:
SDG: Sustainable Development Goals
4 Quality Education
8 Decent Work and Economic Growth
FURTHER INFORMATION
Further Information
valid for whole curriculum period:
Teaching Period:
2020-2021 Autumn II
2021-2022 Autumn II
Course Homepage: https://mycourses.aalto.fi/course/search.php?search=28E34700
Registration for Courses: In the academic year 2021-2022, registration for courses will take place on Sisu (sisu.aalto.fi) instead of WebOodi.
The course is offered to BIZ students only. A maximum of 70 students can be accepted to the course.
- Students at Aalto Finance M.Sc. programme (i.e. who have graduated as B.Sc.) will be guaranteed a seat on Finance M.Sc. courses. Finance M.Sc. students re-taking the course (grade already registered in Sisu) will not be prioritized and can participate only if there are places remaining.
- CEMS students are similarly guaranteed a seat for Finance M.Sc. courses, which have been designated as CEMS courses.
Remaining seats are prioritized as follows:
1. Finance M.Sc. exchange students from other universities
2. Aalto Finance B.Sc. students with a finished B.Sc. thesis (registered in transcript of records)
3. All other M.Sc. students at the School of Business
Please follow carefully the registration deadlines of the courses and exams! Missing registration deadline automatically foregoes a guaranteed seat for Finance M.Sc. courses and puts prospective student at the bottom of the prioritization list.
- Teacher: Lof Matthijs