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Unit information: Empirical Finance in 2018/19

Please note: you are viewing unit and programme information for a past academic year. Please see the current academic year for up to date information.

Unit name Empirical Finance
Unit code EFIMM0046
Credit points 15
Level of study M/7
Teaching block(s) Teaching Block 2 (weeks 13 - 24)
Unit director Dr. Korczak
Open unit status Not open
Pre-requisites

N/A

Co-requisites

N/A

School/department School of Accounting and Finance
Faculty Faculty of Social Sciences and Law

Description

The aim of this unit is to introduce students to doing quantitative empirical research in finance. The first part of the unit covers principles of conducting finance research, doing the literature review and working with financial databases. The second part of the unit focuses on practical implementation of selected particular quantitative research methodologies. In the unit, students are exposed to leading empirical research in various areas of finance and learn how to develop their own research project, with an emphasis on critical assessment of the existing theoretical and empirical literature, obtaining and organising data, analysing it with relevant methods and techniques using econometric software and writing up the results in a formal fashion. The unit prepares students to do an MSc dissertation in finance and is relevant for those planning a career in the financial industry as well as for those considering further academic work in the field.

Intended learning outcomes

On completion of the unit students will be able to:

1. Understand the standard principles of conducting quantitative empirical research at Masters level;

2. Do a literature review;

3. Work with financial databases;

4. Apply relevant econometric tools to specific finance research problems;

5. Use relevant software to analyse data;

6. Put results in the context of existing research;

7. Write up the results in a formal fashion.

Teaching details

25 contact hours split between large-group lectures and small-group practical classes in a computer lab.

125 independent individual and group study time (including preparation for computer classes, coursework and exam).

Assessment Details

Summative assessment: two-hour written exam (75%) and group coursework (25%)

The exam consists of questions on general principles of conducting research in finance and on specific research methodologies.

The coursework is based on a small research task including literature review and data analysis. The submitted report is written up in a form of a short academic paper (normally up to 3,000 words). There will normally be 3 students in a coursework group, and each student in the group will gain the same mark.

Both the exam and coursework test all intended learning outcomes listed above but the exam is focused on ILOs 1, 4 and 6 and the coursework is focused on ILOs 2-7.

Formative assessment: structured problem solving exercises to get hands-on experience in doing finance research, discussed in classes.

Reading and References

There is no specific textbook for the unit. Instead, the reading combines detailed study of specific academic research papers used to illustrate each of the topics with selected parts of background references, such as:

  • M. Saunders, P. Lewis and A. Thornhill (2015) ‘Research Methods for Business Students’, 7th Edition, Pearson
  • C. Brooks (2014) ‘Introductory Econometrics for Finance’, 3rd Edition, Cambridge University Press
  • C.F. Baum (2006) ‘Introduction to Modern Econometrics Using Stata’, Stata Press

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