Scientific Methods in Finance (Expired - replaced by FIN543)

FIN536 Scientific Methods in Finance (Expired - replaced by FIN543)

Spring 2020

  • Topics

    This course has two parts as follows.

    Part I: Empirical Methods - Recent Applications

    • Introduction to Data Sources for Research in Finance
      • International databases: Compustat, CRSP, SDC Securities, M&As, etc.
      • Norwegian databases: … (Aksel)
      • Hand-collected data…
    • Causality and Endogeneity: Omitted variables; Selection bias; Reverse causality; Measurement error
    • Instrumental variables (IV)
    • Regression discontinuity design (RDD)
    • Matching estimators (ME)
    • Natural experiments

    Part II: How to Develop a Paper in Finance?

    In this part, we try to replicate a paper, and discuss the experience and lessons when developing the paper. In particular,

    • Ideas and early explorations; empirical observations and implications.
    • How did I get coauthors of the project? Why do I invite them? Cooperation among coauthors (data work, design of the tables, writing, intro and abstract)
    • Hypotheses development; empirical design; data sources; sample selection; measures and variables; preliminary results; interpretations; endogeneity concerns; steps to address these concerns…
    • First draft: motivation, hypothesis, empirical tests, references, tables and figures, other appendix…
    • Distribution plan: online posting; conferences; seminars; Issuing as a working paper…
    • Comments, inputs, and new ideas and tests; new drafts; changes of the positioning of the paper…
    • Submissions: submission strategy; referee reports; etc.

  • Learning outcome

    The candidate should, on successfully completing the course, be able to:

    Knowledge:

    • Have an in-depth understanding of the widely used empirical methods in finance. In particular, we look into several recently published papers as examples.
    • Have an in-depth understanding of the important steps to develop a paper: from theory to hypotheses, empirical design, measures, regressions, results and interpretation, addressing endogeneity issues, tables and figures, references, others.

    Skills:

    • Use the methods in this course to develop a research project.
    • Structure and write a finance term paper.
    • Use Stata and Latex in developing a research project.

    Competence:

    • Learn how to do independent research in finance.

  • Recommended prerequisites

    Advanced master-level courses such as microeconomics, asset pricing, investment, corporate finance, and econometrics.

  • Requirements for course approval

    Class participation; successfully replicate the project provided by the lecturer

  • Assessment

    Three parts:

    • Class participation (20%)
    • Replication of the given paper (30%)
    • Term paper linked to topics in the course and presentation (50%)

  • Grading Scale

    Grading scale A - F, based on:

    • Class participation (20%)
    • Replication of the given paper (30%)
    • Term paper linked to topics in the course and presentation (50%)

  • Computer tools

    STATA, latex

  • Literature

    No textbook. The course is based on academic articles assigned by the lecturer.

Overview

ECTS Credits
7.5
Teaching language
English
Semester

Spring 2020

Course responsible

Associate Professor Xunhua Su, Department of Finance