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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
- Attend all lectures
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.
- Clearly and , reasonably identify a feasible topic;
- Analyze the problem logically and straightforwardly, and apply in practice;
- Use rich, diverse, and attractive references;
- Use clear-cut language and appropriate citations.
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 correctly all the MCQs.
Answer clearly and completely all the short questions.
1,2,3,4,5,6
60%
Total
100%