Course description

The course gives the student a fundamental understanding of both elementary and advanced econometric methods used in finance, with a focus on applications and research methods. The course gives the students a thorough introduction to topics such as event-studies, predictability of asset returns, factor models and the most appropriate method for a these, and other, topics. The course gives a thorough understanding of methods such as the least squares, the generalized method of moments, and maximum likelihood, and how such methods is applicable to topics in financial economics.

Learning outcomes:

Knowledge

The student will

• Be in the forefront of knowledge within which methods are most suitable for assessing the main themes in the course, such as predictability of the returns on financial instruments.

• Be able evaluate the purpose of the chosen methodology for specific research topics covered by the course, such as how to construct a factor model, and how to most suitably analyze such a model with econometric methods

• Be able to contribute with new thoughts in the areas of securities pricing, factor models and portfolio allocation
  
  

Skills

The student should ...

• Be able to formulate issues for, plan, and conduct research and professional work related to financial themes using econometrics

• Be able to conduct research at a high international level using the most modern and relevant econometric methods that are appropriate for financial economics

• Be able to handle complex academic issues and challenges in established knowledge for topics related to securities pricing, portfolio allocation and risk management
  
  

General competence

The student should ...

• Be able to identify new and relevant issues in topics related to the dynamics of financial instruments, risk, return, and portfolio allocation

• Be able to communicate research through recognized national and international channels, such as presentations at conferences and publishing articles based on methods reviewed in the subject

• Be able to participate in debates in financial economics, and especially within topics related to applications of econometric methods and portfolio allocation

Prerequisites:

Must fulfill the requirements for admission to the PhD program

Recommended previous knowledge:

Not applicable.

Mode of delivery:

Face-to-face.

Learning activities and teaching methods:

Lectures 3 hours/week – total 36 hours.

Assessment::

Participating on seminars is mandatory.

Presentation (PE): Pass/Fail (Pass to get a final grade in the course).

Paper: Pass/Fail (Pass to get a final grade in the course).

Deadline paper January 15th, 2022.

Course literature and recommended reading

Principles of econometrics, 5th edition, Hill, Griffiths, and Lim, Wiley.

Andrew Ang, Asset Allocation: a systematic approach to factor investing. Oxford University Press.

Recommended reading:

List of papers to available upon start of the course.