Topics in Finance / Topics in Finance

Studyboard of Market and Management Anthropology, Economics, Mathematics-Economics, and Environmenta, Odense
Teaching activity id: 9111701.
Teaching language: English.ECTS / weighting: 10 ECTS / 0.167 full-time equivalent.
Examination language: English.
Exam activity id: 9111702.Approved: 07-11-17.
Period: Spring 2018.
Grading: Internal grading.
Assessment: 7-point scale.
Offered in: Odense.

Subject director:
Alexander Schandlbauer, Department of Business and Economics.

Prerequisites:
The graduate finance courses "Advanced Corporate Finance” and “Derivatives and Risk Management”, are required; these courses provide essential building blocks for the present course.

Purpose:
The purpose of the course is to give the students a thorough understanding of different topics and methods within finance. The topics and methods can be related to doing empirical analyses of financial data or doing theoretical analysis of a financial problem. The course builds upon the knowledge and economic intuition obtained in the courses “Advanced Corporate Finance”, “Asset Pricing” and “Derivatives and Risk Management” and discusses and tests the empirical or theoretical implications of these issues. The course addresses different financial areas (e.g. corporate finance, asset pricing, banking, credit ratings etc.) and discusses the economic importance of specific models and their results. In the course, students learn to work with programs that help analyze data, e.g. STATA.

There are several lectures introducing students to the different methods and topics which aim to teach the students how to analyze and solve the econometric problem in practice in a financial context. This will involve working with financial data, perhaps databases such as Compustat or CRSP. In addition, students will read academic papers which are related to the issues and topics discussed in the lectures.  Related to the lectures, the course consists of different assignments where students will learn to analyze financial issues using real life data or theoretical model and perhaps numerical methods. An example of such assignment could be to replicate certain parts of an existing empirical paper or to test or implement a theoretical model.

After completing the course the student will
  • Have knowledge about different methods for testing financial data and models and discuss and evaluate the methods
  • Have skills to conduct tests of financial models
  • Have skills to independently use statistical programs such as STATA
  • Have competences to empirically study complex financial problems and develop methods for testing them.

Content - Key areas:
The key areas are decided by the instructor and they will be announced at the beginning of the course. Examples of key areas are:
  • Corporate Finance (e.g., capital structure, payout/dividend policy, etc.)
Asset pricing
  • Introduction to other topics in empirical finance: e.g., banking, event studies, credit ratings, portfolio choice, etc.
Among other aspects the course can also deal with issues such as:
  • Estimation methods: Least squares, multiple regression, panel data
  • Events studies: Measuring and testing abnormal performance
  • Endogeneity: causes and consequences
  • Tests for asset pricing models: CAPM and Factor models
  • Numerical implementation of a model
  • Theoretical frameworks, e.g., principal-agent models, or dynamic and strategic models

Goals description (SOLO taxonomy):
Within the different key areas the student should
  • Be able to discuss problems of endogeneity and ways of how to address such problems
  • Be able to use cross-sectional and panel data methods for financial problems
  • Be able to construct and test a factor model
  • Be able to understand different econometric techniques, such as for example how to conduct an event study, a principle component analysis, to test asset pricing models
  • Be able to discus and analyze other topics and key areas considered in the course

Literature:
Examples:
1. Lecture notes and academic articles
2. Selected chapters from e.g.:
Angrist J. D. and J.-S. Pischke, 2009, Mostly Harmless Econometrics: An Empiricist's Companion
Greene, W.H., 2012, Econometric Analysis
Roberts, M.R. and T.M. Whited, 2012, Endogeneity in empirical corporate finance
Cochrane, J. 2006, Asset pricing
Tsay, R.S., 2010, Analysis of Financial Time Series

Time of classes:
Spring.

Scheduled classes:
4 lectures (2x2) weekly for 11.5 (non-consecutive) weeks.

Form of instruction:
Teaching activities result in an estimated distribution of the work effort of an average student as follows:
Lectures (including presentations by students) - 46 hours
Preparation for lectures - 86 hours
Assignments and reports - 90 hours
Take home examination - 48 hours
Total of 270 hours.

Time of examination:
Ordinary exam in June and re-exam in August.

Registration for the course is automatically a registration for the ordinary examination in the course. Cancellation is not possible. If the student does not participate in the examination, the student will use an examination attempt.
The university may grant an exemption from the rules in case of exceptional circumstances.
The student is responsible for registering for 2nd and 3rd examination attempt.

The examination form at the re-exam may be changed.

Examination conditions:
Examination in this course is not allowed if the student has passed the following course:
Empirical and Computational Finance (9851902) and Topics in Empirical Finace (9111302).

Form of examination for the certificate:
The examination form consists of two parts (one grade is given):
1. Assignments
2. Take home Exam

Supplemental information for the form of examination:
1. Assignments (which can be split up in sub-assignments) are based on the lectures and may be solved in groups. The instructor decides upon the group structure and membership and whether the assignments must be done in groups.

Duration: About 4-6 weeks.
Location: Home assignment.
Internet Access: Necessary.
Hand Out: The course page in Blackboard.
Hand In: Via SDUassignment in the course page in Blackboard.
Extent: No limitations
Exam Aids: All exam aids allowed.
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2. Individual exam
This is a take home exam. Students have 48 hours to complete the take-home exam.
The final exam will be open-book/open notes and may involve some data analysis, analytical work, numerical implementation of a model, or writing a referee report.

Duration: 48 hours
Location: Home assignment.
Internet Access: Necessary
Hand Out: The course page in Blackboard.
Hand In: Via SDUassignment in the course page in Blackboard.
Extent: No limitations.
Exam Aids: All exam aids allowed.

Programmes:
cand.oecon. Finance and Economics
Spring Semester, elective subject. Offered in: Odense