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4608084: Empirical and Experimental Methods in Finance

Semester:WS 18/19
Art:Übung
Plansemester:1
Lektionen / Semester:35.0 L / 26.5 h
Selbststudium:93.7 h

Modulleitung/Dozierende

Studiengang

Masterstudium Finance (01.09.2015)

Beschreibung

This lecture is divided into empirical and experimental methods. The empirical methods will cover:

Foundations of Modern Standard Capital Market Theory

  • Capital Asset Pricing Model
  • Information Efficiency Hypothesis

Typical Market Anomalies

The Event Study Method
  • Introduction and Background
  • Event Studies in the Short Term
  • Event-Studies in the Long Term

Empirical Asset Pricing Tests
  • Time-series tests
  • Cross-sectional tests

The experimental methods will cover:
  • Key concepts of experimental methods
  • Introduction to the conceptual framework of experimental finance
  • Key decision mindsets of market participants
  • Introduction to trading anomalies
  • Speculative Bubbles
  • Trading behaviour of the 'over the counter' (OTC) market
  • Alternative applications of experimental methods in finance

Lernergebnisse

Students...

  • understand the concept of capital market efficiency and its implications for capital market theory
  • are able to list and identify market anomalies by means of empirical data
  • understand crucial steps in event-study methodology and possible fields of its application
  • are able to apply event-studies for own empirical investigations
  • can distinguish between time-series and cross-sectional tests of the CAPM
  • apply empirical asset pricing tests to time-series, cross-sections and panel data
  • are able to understand how buyers and sellers set a market price
  • know the fundamental rules of experimental methods in finance
  • can determine how information is reflected in the market price and evaluated
  • participate in experiments and create their own experiment to understand the logical structure behind this approach.

Kompetenzen

Lehrmethoden

Interactive lecture with exercises

Literatur

Required reading for Empirical Methods:

  • Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (1997). The econometrics of financial markets Princeton: Princeton University Press.
  • Cochrane, J. H. (2005). Asset pricing, Princeton: Princeton University Press.

Required reading for Experimental Methods:
  • Current academic papers will be used in the course. They will be announced at the beginning of the term.

Prüfungsmodalitäten

Part Experimental Methods: Written Exam

Termine

DatumZeitRaum
02.10.201813:15 - 16:30H4
09.10.201813:15 - 16:30H4
16.10.201813:15 - 16:30H4
23.10.201813:15 - 16:30H4
30.10.201813:15 - 16:30H4
13.11.201813:15 - 16:30H4
22.11.201809:00 - 16:30H5 (Fabrikweg)
23.11.201809:00 - 15:00H5 (Fabrikweg)

Prüfungen

  • PWW-MA_Empirical and Experimental Methods in Finance (WS 18/19, bestätigt)