The University of Southampton

ECON6039 Empirical Finance

Module Overview

This module introduces students to empirical techniques used for pricing financial assets, describing their volatilities, predicting returns and understanding the performance of investment strategies. Emphasis is on the application of rigorous techniques for extracting accurate and reliable information from financial data.

Aims and Objectives

Module Aims

introduce you to empirical methods in finance that have become vitally important to professionals in the financial markets

Learning Outcomes

Learning Outcomes

Having successfully completed this module you will be able to:

  • Simulate investment strategies and test whether their performance indicates market inefficiencies
  • Demonstrate knowledge and understanding of techniques for forecasting returns
  • Demonstrate knowledge and understanding of alternative ways of modelling and forecasting volatilities
  • Test the validity of popular asset pricing models such as the Fama and French three factor model, the capm, among others


1. The predictability of financial returns 2. The term structure of interest rates 3. The Stochastic Discount Factor 4. The Capital Asset Pricing Model 5. Multifactor pricing models 6. Generalized Method of Moments

Learning and Teaching

Teaching and learning methods

This is a half module with 20 hours of lectures and seminars. There is also coursework guided by take-home problem sets.

Independent Study80
Total study time100



MethodPercentage contribution
A lab report  (1.3 hours) 10%
Exam  (2 hours) 90%


MethodPercentage contribution
Exam 100%

Repeat Information

Repeat type: Internal & External

Linked modules


To study this module, you will need to also study the following module(s):

ECON6029Financial Economics and Asset Pricing
ECON6024Econometrics 1
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