## FM437Financial Econometrics

This information is for the 2017/18 session.

Teacher responsible

Dr Christian Julliard

Dr Thummim Cho

Availability

This course is compulsory on the MSc in Finance and Economics. This course is available on the MPhil/PhD in Accounting. This course is not available as an outside option.

Pre-requisites

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

Course content

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.

Teaching

22 hours of lectures and 10 hours of seminars in the MT. 22 hours of lectures and 7 hours of seminars in the LT.

Formative coursework

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

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.

Assessment

Exam (50%, duration: 2 hours) in the LT week 0.
Exam (50%, duration: 2 hours) in the main exam period.

Key facts

Department: Finance

Total students 2016/17: 60

Average class size 2016/17: 20

Controlled access 2016/17: Yes

Lecture capture used 2016/17: Yes (MT & LT)

Value: One Unit

Guidelines for interpreting course guide information

Course survey results

(2013/14 - 2015/16 combined)

1 = "best" score, 5 = "worst" score

The scores below are average responses.

Response rate: 82%

Question

Average
response

2.1

Materials (Q2.3)

2.1

Course satisfied (Q2.4)

2.1

Lectures (Q2.5)

2.2

Integration (Q2.6)

2.4

Contact (Q2.7)

2.1

Feedback (Q2.8)

2.3

Recommend (Q2.9)

 Yes 50% Maybe 42% No 8%