Established by: Dean of Umeå School of Business, Economics and Statistics, 2023-09-14
Contents
The course covers the fundamental methods and concepts in empirical finance, with a focus on predictability of asset returns, the impact of market microstructure, event analysis, the capital asset pricing model, multi factor prices and present value relations.
The tools for the estimation and testing of models in empirical finance are developed and applied to specific models. The role of basic assumptions underlying the different models and the techniques currently used in empirical finance are studied and evaluated.
The introduced concepts and frameworks will be illustrated with simple applications using appropriate statistical software.
Expected learning outcomes
After completing the course, the student will be able to:
Knowledge and understanding
Demonstrate an understanding of (i) central concepts in empirical financial econometrics, (ii) applications and (iii) the pros and cons of various empirical methods
Competence and skills
Evaluate and summarize empirical studies conducted by another person/researcher.
Perform an empirical analysis of some financial data.
Required Knowledge
90 credits of which at least 7.5 credits in mathematics containing calculus, such as One-dimensional calculus 1 or Mathematical Economics I D7 and 7.5 credits in statistics or mathematical statistics or Econometrics I D12 and Financial economics D2 or Financial economics II D21 or Financial economics 3 or equivalent. Proficiency in English equivalent to the Swedish upper secondary course English 6.
Form of instruction
The course is offered in the form of lectures, seminars and exercise sessions.
Examination modes
The examination consists of written group assignments and an individual written hall examination. The results of assignments are valid only during the given semester.
The following grading scale will be used for the course: Pass with Distinction (Väl Godkänd, VG), Pass (Godkänd, G) and Fail (Underkänd, U).
It is normally not possible to do additional examinations to reach a higher grade. Exceptions can be made for a student with the grade Fail on any of the examinations if the examiner (not the lecturer) finds this appropriate. The task must be a minor undertaking, closely related to the learning outcome not reached, and performed in close proximity to the original examination.
A student who does not pass the first examination will be offered an opportunity to sit a re-examination within two months. An additional examination opportunity is normally offered every academic year, one week prior to the start of the autumn term. If required by specific circumstances, other forms of examination may be used.
A student that has failed an examination on two occasions has a right to have another examiner or grading teacher appointed, unless there are special reasons against it. A written request addressed to the Director of Studies should be made no later than two weeks before the next examination opportunity.
Exceptions from examination form as stated in the syllabus can be made for a student who has a decision on pedagogical support for disabilities. Individual adaptations of the examination form should be considered based on the student's needs. The examination form shall be adapted within the framework of the expected learning outcomes stated in the course syllabus. At the request of the student, the course responsible teacher, in consultation with the examiner, must promptly decide on the adapted examination form. The decision must then be notified to the student.
Academic integrity and cheating
As a student, you are expected to act with academic integrity. This means writing and presenting within the limits of the academic rules and expectations communicated in the university's regulations and what is otherwise specified by the responsible department. Disciplinary action may be taken against students who uses unauthorized help aids or in some other way tries to mislead on a test or when another type of task is being evaluated. Rules and regulations concerning the production of academic texts and correct referencing will be applicable to written assignments. Submitted material may be subject to plagiarism control. In addition, Umeå University rules and regulations for education and research apply.
Credit transfer
Academic credit transfers are according to the University credit transfer regulations.
