Overview of the course
- Toolchest for empirical work: Matlab / R.
- Basic econometrics
Linear regressions with applications.
Maximum likelihood, example application: Binary Choce regressions
- Investigating the cross section of asset returns.
The history of crossectional analysis. From Fama-MacBeth to Fama-French.
Tools to investigate risk-return tradeo : Regressions. Fama-MacBeth analysis. GMM. Principal Components (APT).
The Fama-French analysis and current state of the art.
- Investigating the Market Risk Premium.
Basic Estimation. Representative Agent Modelling. The Equity Premium Puzzle. Non-parametrics: Hansen-Jagannathan bounds. Stochastic discount factor representation and estimation.
- Event Studies.
- Time Series.
Univariate time series modelling. VARs. ARCH.
Predictability and forecasting.
- High Frequency (Market Microstructure) Data
Issues. Realized Volatility.
- Liquidity (Market Microstructure)
Measurement using low and high-frequency data.
Modelling interaction of prices and volume.
Liquidity and Asset Pricing.
- Using data in clever ways. Example: Di in Di .
- Data Snooping.