Module ECOS3231: EMPIRICAL FINANCE

Department: Economics, Finance and Business (Economics and Finance) [Queen's Campus, Stockton]

ECOS3231: EMPIRICAL FINANCE

Prerequisites

• Introduction to Financial Econometrics.

Corequisites

• None.

Excluded Combination of Modules

• None.

Aims

• This module aims at bringing together students' knowledge of finance and quantitative techniques in order to investigate important topics within the empirical finance literature.

Content

• The content of this module will draw on current themes in the empirical finance literature and the research expertise of members of staff in the Department of Economics and Finance. As such, the topics covered will vary from year to year. However, the following is indicative of the types of area to be covered: introduction and testing for market efficiency, random walks and martingales, empirical evidence on market anomalies, market microstructure, returns predictability, financial market volatility and derivative trading, estimating hedging ratios and hedging effectiveness, arbitrage in stock index futures, feedback and noise trading, the equity risk premium puzzle, unconditional and conditional tests of the capital asset pricing model, testing for market portfolio efficiency.

Learning Outcomes

• By the end of the module students should:
• be able to appreciate the recent empirical literature in selected topics in finance
• have practiced skills of problem solving and critical thinking.

• Apply knowledge of finance theory to critically analyse issues in empirical testing of models in key finance literature

• Written Communication - through summative assessment
• Planning and Organising - by observing the strict assignment deadlines
• Problem Solving - by applying the necessary analytical and quantitative skills, as well as the ability to utilise concepts in finance, in preparing for examination questions.

Modes of Teaching, Learning and Assessment and how these contribute to the learning outcomes of the module

• Teaching is by lectures and seminars. Learning takes place through attendance at lectures, preparation for and participation in seminars, and private study. Formative assessment is by means of a group presentation and an associated individual report. Summative assessment is by means of a written examination.

Teaching Methods and Learning Hours

Summative Assessment

Formative Assessment:

A group presentation given during seminars and an associated written individual report of no more than 1000 words.

■ Attendance at all activities marked with this symbol will be monitored. Students who fail to attend these activities, or to complete the summative or formative assessment specified above, will be subject to the procedures defined in the University's General Regulation V, and may be required to leave the University