KTTS4190 Empirical Analysis in Asset Pricing (5 op)

In this course, the course participants study established econometric methodologies often used in the literature on empirical asset pricing. These methodologies include the seemingly unrelated regression model (SUR), principal component analysis (PCA), cross-sectional Fama MacBeth regressions or generalized methods of moments (GMM). The participants learn how to implement and modify these econometric methodologies using a matrix-based program which is often used in the finance industry.

Course themes are related to the following UN Sustainable Development Goals:

SDG 4: Quality education: Course involves rigorous quantitative analysis and hands-on experiences, which helps students to develop strong analytical and critical thinking skills as well as increases their practical knowledge.

SDG 8: Decent work and economic growth: Empirical analysis in asset pricing contributes to a better understanding of financial markets, which is crucial for economic growth and the creation of decent jobs. It provides insights into how financial markets function and how they impact the broader economy.

On successful completion of the course, students will be able to:

· evaluate the performance of various empirical asset pricing models used in finance;

· test asset pricing models using econometric tests;

· critically analyze asset pricing anomalies in the cross section of asset returns;

· understand trading strategies implemented as zero-cost portfolios and analyze their performance;

· risk-adjust zero-cost portfolios and interpret alphas and factor loadings.

Contents of the course are related to the following working life skills (generic skills):

-analytic, systematic thinking skills;

-critical evaluation and assessment;

-creative problem solving;

-statistical modelling;

-written communicating skills.

Recommended timing for BIF students: 2nd year.
Recommended timing for Finnish M.Sc. degree students: 4rd or 5th year.

Research papers.
Lecture materials will be provided by the instructor.