4808084: Empirical and Experimental Methods in Finance

zurück zur Übersicht
Semester:WS 19/20
Lektionen / Semester:35.0 L / 26.5 h
Selbststudium:93.7 h



Masterstudium Finance (01.09.2015)


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



  • 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.



Interactive lecture with exercises


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.


Part Experimental Methods: Written Exam


08.10.201913:15 - 16:30H4
10.10.201909:00 - 12:15H6 (Fabrikweg)
15.10.201913:15 - 16:30H4
22.10.201909:00 - 12:15H4
29.10.201913:15 - 16:30H4
12.11.201913:15 - 15:45H4
21.11.201909:00 - 14:45H4
22.11.201909:00 - 12:15H4
22.11.201913:15 - 14:45H4


  • PWW-MA_Empirical and Experimental Methods in Finance (WS 19/20, bestätigt)