5610588: C20 Empirical Methods

Lecture Goals

• Testing Market Efficiency and Random Walks
• Estimating and Testing Asset Pricing Models
• Forecasting Stock Returns

Learning Outcomes

• Students can decide when to use a quantitative research approach.
• Students understand the drivers and behavior of financial asset prices.
• Students can test market efficiency in various ways and interpret their results.
• Students understand how asset pricing models can be tested, conduct such tests and interpret their output.
• Students can link their understanding of asset prices with concepts from Financial Economics.
• Students understand how and to which amount aggregate as well as individual stock returns can be forecasted.

Lectures Method

Interactive lecture with exercises

Literature

Bali, T. G., Engle, R. F., & Murray, S. (2016). Empirical Asset Pricing: The Cross Section of Stock Returns. Hoboken, New Jersey: Wiley.
Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (2012). The Econometrics of Financial Markets. Princeton University Press.