Basic matrix calculus, basic econometrics and finance.
The course consists of four main parts:
Part 1: Predictability of stock market returns; tests of market efficiency;
Part 2: Tests of mean-variance efficiency and the CAPM; return anomalies;
Part 3: Estimating and testing intertemporal asset pricing models; generalized method of moments;
Part 4: Predictability of bond returns; Modelling the term structure of interest rates; tests of the expectations hypothesis.
At the end of the course, the students will be able to:
1) Interpret empirical results
2) Evaluate the appropriateness econometric techniques
3) Master basic financial econometrics concepts
The contribution of this Teaching Unit to the development and command of the skills and learning outcomes of the programme(s) can be accessed at the end of this sheet, in the section entitled “Programmes/courses offering this Teaching Unit”.
For the first exam session, the final grade is computed as follows:
1) Mid-term exams: 40% of total grade
2) Assignment and presentation: 30% of total grade
3) Final exam: 30% of the total grade
For the exams session following the first one, the final grade is computed as follows:
Final exam: 100% of the total grade
Group work. Presentation of slides (available on the interactive platform of the UCL) and usage of blackboard.
This course aim is to familiarize the student with current empirical research in financial markets, focussing upon the interaction between economic theory, econometric methods and empirical results. Particular attention is paid to predictability of returns, risk premia, asset pricing models and the term structure of interest rates. After successful completion of the course, students are expected to be able to interpret empirical results and to evaluate the appropriateness of certain econometric techniques in a given context.
Campbell, J.Y., Lo, A.W. and A.C. MacKinlay (1997), The Econometrics of Financial Markets
