FIN543 Scientific Methods in Finance (not offered)

• 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:

  • do independent research in finance.

• Teaching

  PhD 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.