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41626-01 - Vorlesung: Advanced Empirical Finance 6 KP

Semester Herbstsemester 2021
Angebotsmuster Jedes Herbstsemester
Dozierende Tim Kröncke (t.kroencke@unibas.ch, BeurteilerIn)
Inhalt This course covers important and controversial topics in empirical finance. First, we will review the theories proposed in the literature to explain the behaviour of financial markets. We then discuss the empirical methods that can be utilized to test these theories. Finally, we implement the empirical methods to confront the theories with the empirical data.

We will study the time-series properties of the aggregate stock market, the cross-sectional behaviour of individual stocks, and how to implement an event study to measure the effect of an economic event on the broad market or the value of a company. We cover the classic literature (the work of 7 Nobel Prize winners) as well as recent advances in finance.

This course is designed to make students familiar with research in financial analysis (topics, methodologies, implementation, and writing). Databases such as CRSP, Compustat, and Thomson Reuters/Refinitiv are introduced. Hands-on! After two hours of lecture, we will learn step-by-step how to implement workhorse methods in finance using Matlab during guided exercises. The course is complemented by a weekly homework (or assignment) in which you will be asked to review and present the results of articles recently published in leading academic journals.
Lernziele Lectures are 90 minutes followed by a computer-lab session of 90-120 minutes. In the computer lab session, you will learn step by step how to implement workhorse methods in finance using Matlab.
Literatur See Syllabus (available on ADAM)
Weblink Weblink

 

Teilnahmebedingungen Prerequisites:
I assume that you have completed successfully the core module Econometrics (12036) and at least one finance course, for example, Finanzmarkttheorie I (BSc), or Intermediate Finance (MSc), or Advanced Asset Pricing (MSc).

We will spend a lot of time using the software Matlab. Prior work experience with Matlab is helpful, but not mandatory. The first two lectures provide an introduction to Matlab.
Anmeldung zur Lehrveranstaltung Registration: Please enrol in MOnA. EUCOR-Students and students of other Swiss Universities have to enrol at the students administration office (studseksupport1@unibas.ch) within the official enrolment period. Enrolment = Registration for the exam!
Unterrichtssprache Englisch
Einsatz digitaler Medien Online-Angebot fakultativ

 

Intervall wöchentlich
Datum 24.09.2021 – 10.12.2021
Zeit Freitag, 16.15-20.00 Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37

The course is planned as an in-class course, if necessary it will be offered in hybrid form, i.e. with a simultaneous livestream or as an online presence course.

Datum Zeit Raum
Freitag 24.09.2021 16.15-20.00 Uhr Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37
Freitag 01.10.2021 16.15-20.00 Uhr Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37
Freitag 08.10.2021 16.15-20.00 Uhr Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37
Freitag 15.10.2021 16.15-20.00 Uhr Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37
Freitag 22.10.2021 16.15-20.00 Uhr Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37
Freitag 29.10.2021 16.15-20.00 Uhr Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37
Freitag 05.11.2021 16.15-20.00 Uhr Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37
Freitag 12.11.2021 16.15-20.00 Uhr Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37
Freitag 19.11.2021 16.15-20.00 Uhr Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37
Freitag 26.11.2021 16.15-20.00 Uhr Dies Academicus
Freitag 03.12.2021 16.15-20.00 Uhr Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37
Freitag 10.12.2021 16.15-20.00 Uhr Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37
Module Modul: Ausgewählte Themen aus Ökonomie und Rechtswissenschaft (Masterstudium: Actuarial Science)
Modul: Core Courses in Monetary Economics and Financial Markets (Masterstudium: Wirtschaftswissenschaften)
Modul: Field Electives in Economics and Public Policy (Masterstudium: Economics and Public Policy)
Modul: Specific Electives in Business and Economics (Masterstudium: Wirtschaftswissenschaften)
Modul: Specific Electives in Finance, Controlling, Banking (Masterstudium: Wirtschaftswissenschaften)
Modul: Specific Electives in Monetary Economics and Financial Markets (Masterstudium: Wirtschaftswissenschaften)
Vertiefungsmodul: Finance, Controlling and Banking (Masterstudium: Wirtschaftswissenschaften (Studienbeginn vor 01.08.2021))
Vertiefungsmodul: Monetary Economics and Financial Markets (Masterstudium: Wirtschaftswissenschaften (Studienbeginn vor 01.08.2021))
Leistungsüberprüfung Leistungsnachweis
Hinweise zur Leistungsüberprüfung 6 CP. Grading is based on a final written exam at the end of the semester (50%), and three assignments during the semester (50%). Live attendance (physical or video stream) is highly recommended. Due to its nature, the course requires continuous study throughout the semester.

Date of the written exam: tba

An-/Abmeldung zur Leistungsüberprüfung An-/Abmelden: Belegen resp. Stornieren der Belegung via MOnA
Wiederholungsprüfung keine Wiederholungsprüfung
Skala 1-6 0,1
Wiederholtes Belegen beliebig wiederholbar
Zuständige Fakultät Wirtschaftswissenschaftliche Fakultät / WWZ, studiendekanat-wwz@unibas.ch
Anbietende Organisationseinheit Wirtschaftswissenschaftliche Fakultät / WWZ

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