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| Semester | fall semester 2023 |
| Course frequency | Every fall sem. |
| Lecturers | Tim Kröncke (t.kroencke@unibas.ch, Assessor) |
| Content | This course covers important and controversial topics in empirical finance. We review the theories proposed in the literature to explain the behaviour of financial markets and discuss the empirical methods that can be utilized to test these theories. The focus of this course is on implementing empirical methods to confront the theories with the 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 multiple Nobel Prize winners) as well as recent advances in finance. This course is designed to make students familiar with research in finance (topics, methodologies, implementation, and writing). Important databases such as CRSP, Compustat, and Refinitiv are introduced. Hands-on! Except for the first two weeks, the course follows the flipped classroom idea. Before our lecture, students learn the new material and dataset using interactive live-scripts. In the classroom, we review the material and then explore the topic in greater depth, e.g. by replicating articles that have been recently published in leading academic journals. |
| Learning objectives | Weeks 01, 02, and 12, traditional classroom instruction: We discuss new material during our class, start an exercise, and students finish the exercise at home. All other weeks, flipped classroom: Students study a new topic (material indicated in the course outline) at home with live-scripts at their own pace before the lecture. In the lecture, we review the material and discuss potential questions. We then explore the topic in greater depth and solve the exercises together in the classroom. |
| Bibliography | See Syllabus (available on ADAM) |
| Weblink | Weblink |
| Admission requirements | Prerequisites: I assume that you have completed successfully one course in econometrics (BSc or MSc) and at least one finance course (BSc or 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. |
| 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! |
| Language of instruction | English |
| Use of digital media | Online, optional |
| Interval | Weekday | Time | Room |
|---|---|---|---|
| wöchentlich | Tuesday | 10.15-14.00 | Wirtschaftswissenschaftliche Fakultät, Grosses PC-Labor S18 HG.37 |
| Modules |
Module: Core Courses in Monetary Economics and Financial Markets (Master's Studies: Business and Economics) Module: Field Electives in Economics and Public Policy (Master's Studies: Economics and Public Policy) 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 Business and Economics (Master's Studies: Business and Economics) Module: Specific Electives in Finance, Controlling, Banking (Master's Studies: Business and Economics) Module: Specific Electives in Monetary Economics and Financial Markets (Master's Studies: Business and Economics) |
| Assessment format | record of achievement |
| Assessment details | 6 CP. Grading is based on a final written exam at the end of the semester (50%), and three assignments during the semester (50%). written exam: 19.12.23; 10:15-11:45. WWZ S15: A-Z. You can still withdraw from the examination by submitting a completed, signed form to our office from 17.10.23 until 27.10.23 / 12:00 o’clock. The deregistration form and the mail address can be found on the homepage of the Dean of Studies Office: https://wwz.unibas.ch/en/studies/examinations/de-/registration-of-examinations/ Prior to 16.10.23, please deregister only in the Online Services. |
| Assessment registration/deregistration | Reg.: course registration, dereg: cancel course registration |
| 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 |