LEARNING OUTCOMES
By the end of the course, students will be familiar with various econometric methods for cross-sectional asset pricing and return predictability; be able to implement these methods using the R language; know how to interpret statistical results correctly and draw appropriate conclusions; be able to critically evaluate empirical academic research in asset pricing.
Credits: 6
Schedule: 10.01.2025 - 20.02.2025
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 will cover methods used for academic empirical research in asset pricing, including time series analysis and forecasting, Fama-MacBeth regressions, factor models, and modelling market volatility. All topics will be illustrated by financial applications.
Assessment Methods and Criteria
valid for whole curriculum period:
Exercises (50%) and exam (50%)
Workload
valid for whole curriculum period:
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:
FURTHER INFORMATION
Further Information
valid for whole curriculum period:
Teaching Language: English
Teaching Period: 2024-2025 Spring III
2025-2026 Spring IIIRegistration:
A maximum of 80 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. Students re-taking the course (grade already registered) will not be prioritized and can participate only if there are places remaining.
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.