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Dr Linyan Zhu (Michaelmas Term)

Dr Christian Julliard (Lent Term)

This course is compulsory on the MSc in Finance and Economics and MSc in Finance and Economics (Work Placement Pathway). This course is not available as an outside option.

Mathematical background to the level of the course taught in September in the Economics Department (EC400) is assumed.

Ths course covers the techniques of empirical investigation in economics and finance. Students are introduced to recent empirical findings based on asset pricing and corporate finance models. The course includes a selection of the following topics: multivariate regression; maximum likelihood and methods of moments estimation; hypothesis testing; omitted variables and misspecification; asymptotic theory; measurement error and instrumental variables; time-series modelling; predictability of asset returns; event study analysis; econometric tests of the CAPM and multifactor models; volatility modelling; generalised method of moments estimation.

30 hours of lectures in the MT. 33 hours of lectures in the LT.

This course is taught in the interactive lecturing format. There is no distinction between lectures and classes/seminars; there are “sessions” only, and the pedagogical approach in each session is interactive.

Exercises are provided each week and they are discussed in class.

The textbook for the Michaelmas Term is Econometrics by Bruce E. Hansen, available online. A complete reading list is available at the beginning of session. Will be based on Greene, Econometric Analysis, Prentice-Hall; Campbell, Lo & MacKinlay, The Econometrics of Financial Markets, Princeton University Press; Econometric Analysis of Cross Section and Panel Data, J. Wooldridge; selected published articles.

Exam (45%, duration: 2 hours) in the January exam period.
Exam (45%, duration: 2 hours, reading time: 10 minutes) in the summer exam period.
Coursework (10%) in the MT and LT.