Empirical Finance

Learning Outcomes

Knowledge and Understanding

Having successfully completed this module, you will be able to demonstrate knowledge and understanding of:

• the tradeoffs between stock market risk and return and various ways of quantifying risk
• the behaviour of stock prices and returns and whether they are forecastable
• simple models to assess whether a stock price is over or undervalued
• statistical tools for economic and financial data analysis, such as event studies

Subject Specific Intellectual and Research Skills

Having successfully completed this module you will be able to:

• simulate popular investment strategies and assess whether you can make money out of them
• conduct event studies using stock price data
• construct statistical models of asset prices to assess the impact of events on stock prices and whether a stock price is over or undervalued

Transferable and Generic Skills

Having successfully completed this module you will be able to:

• use quantitative reasoning and analyse and interpret data

This module confronts economic theories (e.g. efficient markets, CAPM) about stock prices and returns with real world financial data. The first part of the module deals with how prices and returns should behave in an efficient market and introduces statistical techniques to assess whether such behavior is supported by the data. The second part of the module looks at departures from the efficient markets framework by introducing various popular investment strategies used by fund management companies as well as techniques used to assess whether it is possible to beat the market by following such strategies. At the end of the module students should also become well versed in the overall characteristics of equity markets and modern fund management practices.

Teaching and learning methods

Lectures and Masterclass

Resources & Reading list

General Resources

Lecture Notes. Lecture notes, slides, handouts and relevant book chapters posted on the module's Blackboard pages.

Assessment strategy

Assessment in this module is through coursework in form of two problem sets (each worth 5% of the final mark), online quizzes (5%) and a comprehensive end of module examination (85%). This is supported by continuous formative assessment in form of problem sets. This is the same for internal repeat. Assessment for external repeat and referral is through 100% end of module examination.

Summative

This is how we’ll formally assess what you have learned in this module.

Referral

This is how we’ll assess you if you don’t meet the criteria to pass this module.

Repeat

An internal repeat is where you take all of your modules again, including any you passed. An external repeat is where you only re-take the modules you failed.

Repeat Information

Repeat type: Internal & External