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41626-01 - Lecture: Advanced Empirical Finance (3 CP)
| Semester | spring semester 2025 |
| Course frequency | Every spring sem. |
| Lecturers | Tim Kröncke (t.kroencke@unibas.ch, Assessor) |
| Content | Tentative Course Outline: * Getting Started ("How to use Matlab for Finance? How do we get data?") * Risk and Return ("How to measure return and risk? How to simulate stock data? How to run and interpret linear regressions on returns?") * Return Predictability ("Can we time the market? In the short-term vs the long-term?") * Asset Pricing ("What factors drive markets? Does factor investing work? What are economic explanations behind factors?") |
| Learning objectives | This course provides an empirical "hands-on" perspective on the two central dimensions of asset pricing: First, the time-series properties of the aggregate stock market and tests of the predictability of stock returns in the short and long run. Second, the cross-section of stock returns and potential explanatory factors. There will be no Power Point slides. Instead, the material will be presented using Matlab live scripts that will allow students to directly explore the data and extend the empirical tests. This course is designed to familiarise students with research in finance (topics, methods, implementation and writing). We cover key publications in asset pricing as well as recent advances in the take-home assignments. |
| Bibliography | See Syllabus (available on ADAM) |
| Comments | Organization: Second half of the semester, Fridays, 10:15 – 14:00, WWZ, Grosses PC-Labor S18 HG.37 During our lecture, we discuss new material and begin the exercise. Students are asked to finish the exercise at home. |
| Weblink | Weblink |
| Admission requirements | Prerequisites: I assume that you have successfully completed a course in econometrics (BSc or MSc) and at least one course in finance (BSc or MSc). We will spend a lot of time using the software Matlab. Previous experience of Matlab is helpful but not essential. The first lecture will be an introduction to Matlab. Students will be allowed to complete take-home assignments using a statistical environment other than Matlab (e.g. R or Python). |
| Course application | Registration: Please enroll in the Online Services (services.unibas.ch); Eucor-Students and mobility students of other Swiss Universities or the FHNW first have to register at the University of Basel BEFORE the start of the course and receive their login data by post (e-mail address of the University of Basel). Processing time up to a week! Detailed information can be found here: https://www.unibas.ch/de/Studium/Mobilitaet.html After successful registration you can enroll for the course in the Online Services (services.unibas.ch). Applies to everyone: Enrolment = Registration for the course and the exam/assignment! A deregistration is possible by email to belegungstorno-wwz-at-unibas.ch by April 28, 2025 at the latest, stating the course number, title and your matriculation number. |
| Language of instruction | English |
| Use of digital media | Online, optional |
| Interval | Weekday | Time | Room |
|---|---|---|---|
| wöchentlich | Friday | 10.15-14.00 | Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37 |
Dates
| Date | Time | Room |
|---|---|---|
| Friday 11.04.2025 | 10.15-14.00 | Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37 |
| Friday 18.04.2025 | 10.15-14.00 | Ostern |
| Friday 25.04.2025 | 10.15-14.00 | Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37 |
| Friday 02.05.2025 | 10.15-14.00 | Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37 |
| Friday 09.05.2025 | 10.15-14.00 | Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37 |
| Friday 16.05.2025 | 10.15-14.00 | Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37 |
| Friday 23.05.2025 | 10.15-14.00 | Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37 |
| Modules |
Module: Field Electives in Finance and Money (Master's Studies: Finance and Money) Module: Finance Field: Financial Markets and Asset Pricing (Master's Studies: Finance and Money) Module: Selected Subjects of Economics and Jurisprudence (Master's Studies: Actuarial Science) Module: Specific Electives in Finance, Controlling, Banking (Master's Studies: Business and Economics) |
| Assessment format | record of achievement |
| Assessment details | 3 ECTS. Grading is based on a final written exam, 90 minutes (50%), and two assignments during the course (50%). written exam: date and time tbd |
| Assessment registration/deregistration | Reg.: course registr.; dereg.: Office of the Dean of Studies |
| Repeat examination | no repeat examination |
| Scale | 1-6 0,1 |
| Repeated registration | as often as necessary |
| Responsible faculty | Faculty of Business and Economics , studiendekanat-wwz@unibas.ch |
| Offered by | Faculty of Business and Economics |