608.920 (20W) Empirical Finance

Wintersemester 2020/21

Registration deadline has expired.

First course session
07.10.2020 10:15 - 12:00 On Campus

... no further dates known

Overview

Due to the COVID-19 pandemic, it may be necessary to make changes to courses and examinations at short notice (e.g. cancellation of attendance-based courses and switching to online examinations).

For further information regarding teaching on campus, please visit: https://www.aau.at/en/corona.

Lecturer

Course title german

Empirical Finance

Type

Course (continuous assessment course )

Course model

Attendance-based course

Hours per Week

2.0

ECTS credits

4.0

Registrations

8 (19 max.)

Organisational unit

Language of instruction

English

possible language(s) of the assessment

English

Course begins on

07.10.2020

eLearning

Go to Moodle course

Time and place

Please note that the currently displayed dates may be subject to change due to COVID-19 measures.

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Course Information

English

Intended learning outcomes

Students will acquire knowledge about:

* Principles of empirical research in finance
* Econometric tools used in empirical finance
* Analyzing financial market data

Upon completion of the course, students should be able to:

1. Understand simple and multiple regression analysis.
2. Understand principles of time-varying volatility models.

3. Retrieve, process and describe financial market data.
4. Estimate simple financial econometric models .
5. Conduct event studies.
6. Optimize portfolios.
7. Simulate asset prices.

8. Critically evaluate and correctly interpret results from empirical studies using financial market data

Teaching methodology

Lectures (20%), presentations & discussions (80%)

Course content

Introduction to empirical research in finance
Regression analysis
Volatility modeling
Handling financial data
Portfolio optimization
Advanced regression approaches
Event studies
Time series modeling
Monte Carlo finance
Empirical tests of the CAPM
Evaluating trading strategies
Impacts of a trading venue's fee change
Time series properties of German stocks
Seasonalities in the U.S. stock markets
Liquidity of cryptocurrencies
Boeing crashes and Boeing's stock performance

Prior knowledge expected

Students should be familiar with:

* calculating returns,
* measuring risk,
* different asset classes such as bonds, stocks, derivatives, commodities and alternative investments,
* portfolio theory, incl. the Capital Asset Pricing Model and
* a software package that provides advanced econometric tools (such as Matlab, R, GRETL, Octave, …)

See for example chapter 1 in Linton, O. (2019). Financial Econometrics. Models and Methods. Cambridge University Press, available here: https://www.book2look.com/book/zonkahqiZh

Lack of fear of using a bit of mathematics, statistics and data analysis is an asset.

Curricular registration requirements

Create a Matlab online account here: https://www.mathworks.com/products/matlab-online.html using the university’s campus-wide license.

Literature

Linton, O. (2019). Financial Econometrics. Models and Methods. Cambridge University Press.

Berk, J., DeMarzo, P. (20XX). Corporate Finance. Pearson, any edition is fine.

Neusser, K. (2016). Time Series Econometrics (Chapter 8). Springer.

Examination information

Im Fall von online durchgeführten Prüfungen sind die Standards zu beachten, die die technischen Geräte der Studierenden erfüllen müssen, um an diesen Prüfungen teilnehmen zu können.

English

Examination methodology

Students will present and use econometric tools widely applied in empirical finance and outline their applicability and limitations. Furthermore, students will conduct two empirical case studies and present their results in class.

Assessment criteria / Standards of assessment for examinations

Present econometric tools and applications: 20%

Empirical case study 1: 40%

Empirical case study 2: 40%

Grading scheme

Grade / Grade grading scheme

Position in the curriculum

Bachelor's degree programme Business Administration (SKZ: 518, Version: 18W.1)
- Subject: Volkswirtschaftslehre (Compulsory elective)
  - 20.1 SVWL Volkswirtschaftslehre I ( 0.0h VO, KS, VC, SE / 4.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)
      Absolvierung im 3., 4., 5., 6. Semester empfohlen

Bachelor's degree programme Business Administration (SKZ: 518, Version: 18W.1)
- Subject: Volkswirtschaftslehre (Compulsory elective)
  - 20.2 SVWL Volkswirtschaftslehre II ( 0.0h VO, KS, VC, SE / 4.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)
      Absolvierung im 3., 4., 5., 6. Semester empfohlen

Bachelor's degree programme Business Administration (SKZ: 518, Version: 18W.1)
- Subject: Volkswirtschaftslehre (Compulsory elective)
  - 20.3 SVWL Volkswirtschaftslehre III ( 0.0h VO, KS, VC, SE / 4.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)
      Absolvierung im 3., 4., 5., 6. Semester empfohlen

Bachelor's degree programme Business Administration (SKZ: 518, Version: 18W.1)
- Subject: Fach aus dem gebundenen Wahlfachbündel I (Compulsory elective)
  - 26.1 Lehrveranstaltung I ( 0.0h VO, VC, KS, VI / 4.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)
      Absolvierung im 4., 5., 6. Semester empfohlen

Bachelor's degree programme Business Administration (SKZ: 518, Version: 18W.1)
- Subject: Fach aus dem gebundenen Wahlfachbündel I (Compulsory elective)
  - 26.2 Lehrveranstaltung II ( 0.0h VO, VC, KS, VI / 4.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)
      Absolvierung im 4., 5., 6. Semester empfohlen

Bachelor's degree programme Business Administration (SKZ: 518, Version: 18W.1)
- Subject: Fach aus dem gebundenen Wahlfachbündel I (Compulsory elective)
  - 26.3 Lehrveranstaltung III ( 0.0h VO, VC, KS, VI / 4.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)
      Absolvierung im 4., 5., 6. Semester empfohlen

Bachelor's degree programme Business Administration (SKZ: 518, Version: 18W.1)
- Subject: Freie Wahlfächer (Optional subject)
  - Freie Wahlfächer ( 0.0h XX / 9.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)
      Absolvierung im 4., 5., 6. Semester empfohlen

Bachelor's degree programme Applied Business Administration (SKZ: 518, Version: 14W.3)
- Subject: Vertiefung aus Volkswirtschaftslehre (Compulsory elective)
  - §10(1) Vertiefung aus Volkswirtschaftslehre ( 2.0h VO / 4.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)

Bachelor's degree programme Applied Business Administration (SKZ: 518, Version: 14W.3)
- Subject: Vertiefung aus Volkswirtschaftslehre (Compulsory elective)
  - §10(1) Vertiefung aus Volkswirtschaftslehre ( 2.0h KS / 4.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)

Bachelor's degree programme Applied Business Administration (SKZ: 518, Version: 14W.3)
- Subject: Vertiefung aus Volkswirtschaftslehre (Compulsory elective)
  - §10(1) Vertiefung aus Volkswirtschaftslehre ( 2.0h VO / 4.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)

Bachelor's degree programme Applied Business Administration (SKZ: 518, Version: 14W.3)
- Subject: Vertiefung aus Volkswirtschaftslehre (Compulsory elective)
  - §10(1) Vertiefung aus Volkswirtschaftslehre ( 2.0h KS / 4.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)

Bachelor's degree programme Applied Business Administration (SKZ: 518, Version: 14W.3)
- Subject: Freie Wahlfächer (Optional subject)
  - §11 Freie Wahlfächer ( 0.0h XX / 10.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)

Master's degree programme Applied Business Administration (SKZ: 918, Version: 12W.4)
- Subject: Freie Wahlfächer (Optional subject)
  - Freie Wahlfächer ( 0.0h XX / 6.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)

Thematic Doctoral Programme Modeling, Simulation and Optimization in Business and Economics (SKZ: ---, Version: 16W.2)
- Subject: Modelling, Simulation, Optimization in Business and Economics (Compulsory subject)
  - Modelling, Simulation, Optimization in Business and Economics ( 0.0h XX / 0.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)

Bachelor's degree programme Business and Law (SKZ: 519, Version: 12W.3)
- Subject: Freie Wahlfächer (Optional subject)
  - Freie Wahlfächer ( 0.0h XX / 12.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)

Bachelor's degree programme Business and Law (SKZ: 519, Version: 18W.1)
- Subject: Volkswirtschaftslehre (Compulsory elective)
  - 7.7.1. SVWL Volkswirtschaftslehre 1 ( 0.0h VO, VC, KS, SE / 4.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)
      Absolvierung im 4., 5., 6. Semester empfohlen

Bachelor's degree programme Business and Law (SKZ: 519, Version: 18W.1)
- Subject: Volkswirtschaftslehre (Compulsory elective)
  - 7.7.2. SVWL Volkswirtschaftslehre 2 ( 0.0h VO, VC, KS, SE / 4.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)
      Absolvierung im 4., 5., 6. Semester empfohlen

Bachelor's degree programme Business and Law (SKZ: 519, Version: 18W.1)
- Subject: Volkswirtschaftslehre (Compulsory elective)
  - 7.7.3. SVWL Volkswirtschaftslehre 3 ( 0.0h VO, VC, KS, SE / 4.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)
      Absolvierung im 4., 5., 6. Semester empfohlen

Bachelor's degree programme Business and Law (SKZ: 519, Version: 18W.1)
- Subject: Freie Wahlfächer (Optional subject)
  - Freie Wahlfächer ( 0.0h XX / 9.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)
      Absolvierung im 1., 2., 3., 4., 5., 6. Semester empfohlen

Master's degree programme Business and Law (SKZ: 909, Version: 12W.4)
- Subject: Freie Wahlfächer (Optional subject)
  - Freie Wahlfächer ( 0.0h XX / 6.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)

Doctoral programme Doctoral programme in Social and Economic Sciences (SKZ: 300, Version: 18W.1)
- Subject: Studienleistungen gem. § 3 Abs. 2a des Curriculums (Compulsory subject)
  - Studienleistungen gem. § 3 Abs. 2a des Curriculums ( 0.0h XX / 80.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)

Doctoral programme Doctoral programme in Social and Economic Sciences (SKZ: 300, Version: 12W.4)
- Subject: Studienleistungen gem. § 3 Abs. 2a des Curriculums (Compulsory subject)
  - Studienleistungen gem. § 3 Abs. 2a des Curriculums ( 40.0h XX / 80.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)

Doctoral programme Doctoral programme in Social and Economic Sciences (SKZ: 784, Version: 12W.4)
- Subject: Studienleistungen gem. § 3 Abs. 2a des Curriculums (Compulsory subject)
  - Studienleistungen gem. § 3 Abs. 2a des Curriculums ( 40.0h XX / 80.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)

Bachelor's degree programme International Business and Economics (SKZ: 516, Version: 19W.1)
- Subject: Special Topics in International Business and Economics (Compulsory elective)
  - 15.1 Special Topics in International Business and Economics 1 ( 0.0h VO, VI, VC / 4.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)
      Absolvierung im 3., 4., 5., 6. Semester empfohlen

Bachelor's degree programme International Business and Economics (SKZ: 516, Version: 19W.1)
- Subject: Special Topics in International Business and Economics (Compulsory elective)
  - 15.2 Special Topics in International Business and Economics 2 ( 0.0h VO, VI, VC / 4.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)
      Absolvierung im 3., 4., 5., 6. Semester empfohlen

Bachelor's degree programme International Business and Economics (SKZ: 516, Version: 19W.1)
- Subject: Special Topics in International Business and Economics (Compulsory elective)
  - 15.3 Special Topics in International Business and Economics 3 ( 0.0h VO, VI, VC / 4.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)
      Absolvierung im 3., 4., 5., 6. Semester empfohlen

Bachelor's degree programme International Business and Economics (SKZ: 516, Version: 19W.1)
- Subject: Freie Wahlfächer (Optional subject)
  - Freie Wahlfächer ( 0.0h XX / 12.0 ECTS)
    - 608.920 Empirical Finance (2.0h KS / 4.0 ECTS)
      Absolvierung im 4., 5., 6. Semester empfohlen

Equivalent courses for counting the examination attempts

This course is not assigned to a sequence of equivalent courses