Module ECON54345: Research and Modelling Methods in Finance

Department: Economics and Finance

ECON54345: Research and Modelling Methods in Finance

Prerequisites

• As specified in special Regulations

Corequisites

• As specified in Special Regulations

Excluded Combination of Modules

• None.

Aims

• Planning and organising - e.g. by working in teams; observing the strict assignment deadlines; organising and managing your own projects and presentations.
• Initiative - e.g. by identifying research questions; by searching key research papers using relevant databases and the web.
• Adaptability - e.g. by working as part of a team and performing under pressure in the presentation.
• Numeracy - e.g. by being exposed to empirical applications in finance.
• Comp;uter Literacy - e.g. by word-processing assignments; by hands-on experience on selected econometric packages; by using e-mail to communicate with both staff and other students; by using the web and library on-line facilities; accessing, and downloading from, the module's web pages teaching material.

Content

• Part 1: The research process in finance including data management, econometric software and learning resources :
• Undertaking research in finance: An overview of the nature of finance research, research questions, types of data and its collection and management, hypothesis testing, writing a research report.
• Making use of library facilities, databases and other learning resources such as journals, books, electronic search engines, data sources and databases.
• Planning a research project in finance: Asking research questions and finding answers:
• Undertakina a review of the literature: approaches, purpose and managing the process
• Writing a research report: aims, different types, examples what the examiner/referee looks for
• Drafting and revising a project
• Reviewing the literature and finding the research questions (e.g., this could include presentation by PhD students, staff and visiting speakers)
• Data management: obtaining data, spreadsheets such as Access and other data management systems, introduction to packages such MFIT, RATS, EVIEWS, SPSS.
• Part 11: Modelling tools for financial decisions and markets :
• Present Value Relations
• Intertemporal Equilibrium Models
• Arbitrage Pricing Theorem
• Derivative Pricing Models
• Term-Structure Models
• Discrete vs. continuous time Models
• Mean Variance model
• Part 111: Applications of advanced principles, concepts and methods to select a topic in finance : This part will involve presentations of empirical and theoretical research at the frontiers' of the subject as well as reviews of selected seminal papers. Topics will reflect the research interests of the Department and include (but are not limited to):
• Asset pricing and Return Predictability
• Market Integration
• Contrarian / momentum Investment Strategies and Return Predictability
• Pricing of Initial Public Offerings
• Corporate Takeovers
• Financial Liberalisation and Stock Markets
• Derivatives trading and market volatility
• Tests of Efficient Market Hypothesis
• International Portfolio Diversification
• Market Microstructure
• Portfolio Performance Measurement

Learning Outcomes

• have gained an understanding and awareness of the nature and scope of research in economics and finance,
• be able to effectively organise, structure and manage a research project;
• have explored, understood and appreciated the complexity and contradictions of the contemporary research in economics and finance;
• have used highly specialised and advanced technical, professional and academic skills in the analysis of relevant specific problems in the fields of economics and finance;
• have demonstrated ability to learn and work independently exercising critical judgement and discrimination in the resolution of complex problematic situations;

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

• Combination of lectures; students' presentations and discussions in seminars; formative assignment and research based summative assignment involving analytical skills will help achieve the aims and stated learning outcomes of this module.

Teaching Methods and Learning Hours

Summative Assessment

Formative Assessment:

■ 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