1. COURSE OBJECTIVES
This subject is designed to provide a set of empirical tools to analyze financial data, model underlying economic mechanisms, and predict future price trends. This course covers both cross-sectional and time-series data. Multivariate regression analysis is developed to study the cross-sectional differences in stock returns of individual firms and associated portfolio models.
Applications of these techniques to evaluate the performance of new trading strategies and hedge fund managers are also discussed. Furthermore, time-series models are introduced to model and forecast both time-varying aggregate stock returns and volatility.
The course prepares students to conduct empirical research in an academic or business setting.
2. COURSE CONTENTS
|
No. |
Contents |
Time Allocation |
Contribution to CLO |
|||
|
Hour(s) on the class |
Essays, exercise, Assignments… (3) |
Self-study with teacher’s tutorials (4) |
||||
|
Lecture (1) |
Practice, Seminar… (2) |
|||||
|
1 |
Introduction and Review |
3 |
0 |
1.5 |
5.5 |
1,2 |
|
2 |
Chapter 1: Simple Linear Regression Model and Financial Data |
3 |
0 |
1.5 |
5 |
1,2,3,4,5,6 |
|
3 |
Chapter 1: Simple Linear Regression Model and Financial Data (Cont.) |
3 |
0 |
1.5 |
5.5 |
1,2,3,4,5,6 |
|
4 |
Chapter 1: Simple Linear Regression Model and Financial Data(Cont.) |
3 |
0 |
1.5 |
5 |
1,2,3,4,5,6 |
|
5 |
Chapter 2: Multiple Linear Regression Model and Financial Data |
3 |
0 |
1.5 |
5.5 |
1,2,3,4,5,6 |
|
6 |
Chapter 2: Multiple Linear Regression Model and Financial Data (Cont.) |
3 |
0 |
1.5 |
5 |
1,2,3,4,5,6 |
|
7 |
Chapter 3: Statistical Inference |
3 |
0 |
1.5 |
5.5 |
1,2,3,4,5,6 |
|
8 |
Chapter 3: Statistical Inference (cont) |
3 |
0 |
1.5 |
5 |
1,2,3,4,5,6 |
|
9 |
Chapter 4: Time Series Regression |
3 |
0 |
1.5 |
5.5 |
1,2,3,4,5,6 |
|
10 |
Chapter 4: Time Series Regression (Cont.) |
3 |
0 |
1.5 |
6 |
1,2,3,4,5,6 |
|
11 |
Chapter 4: Time Series Regression (Cont.) |
3 |
0 |
1.5 |
6 |
1,2,3,4,5,6 |
|
12 |
Chapter 5: Long-run relationships: Cointegration and error correction models |
3 |
0 |
1.5 |
5.5 |
1,2,3,4,5,6 |
|
13 |
Chapter 5: Long-run relationships: Cointegration and error correction models |
3 |
0 |
1.5 |
6 |
1,2,3,4,5,6 |
|
14 |
Chapter 6: Capital asset pricing model – CAPM |
3 |
0 |
1.5 |
6 |
1,2,3,4,5,6 |
|
15 |
Chapter 6: Capital asset pricing model –CAPM (Cont.) |
3 |
0 |
1.5 |
5.5 |
1,2,3,4,5,6 |
|
Total (hour) |
45 |
0 |
22.5 |
82.5 |
||
3. COURSE ASSESSMENT
– Score ladder: 10
– Type of assessment
|
Form |
Content |
Criteria |
CLO |
Proportion |
|
|
Formative |
Attendance |
Answer to questions and practice exercises, and contribute to the lectures |
-The number of attendances and participation in lesson -Complete assigned exercises. |
1,2,3,4,5,6 |
10% |
|
Group report |
Ability to apply what have been studied to solve a specific problem. |
|
1,2,3,4,5,6 |
30% |
|
|
Summative |
Final test MCQ and writing questions for 60 minutes |
What have been studied during the course |
Answer clearly and completely all the short questions. |
1,2,3,4,5,6 |
60% |
|
Total |
100% |
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