Advanced Seminar Finance & Accounting: Empirical Asset Pricing

What it is about

You deal with models for the pricing of securities and test their descriptive power using empirical data. In the end you can perform factor models (e.g., Fama-French), cross-sectional and time-series empirical tests, and interpret the results for theory and practice.

What you will be able to do

• Apply empirical methods for asset-pricing tests
• Understand important empirical findings in asset pricing
• Critically read and assess scientific works
• Carry out data analysis, hypothesis formation, and empirical tests
• Generalize results of empirical analyses to financial market theories
• Recognize the implications of the literature for practice
• Independently formulate and empirically analyze an economic asset-pricing problem
• Construct Fama-French factors for a country
• Specify an appropriate econometric model and interpret results
• Present results clearly in a written report and collaborate in a team

What the module consists of

• Seminar / Project workMain activity: independent group work (3–4 students) with literature research and empirical analysis; final project
• Lecture / Seminar materialDevelopment and discussion of foundational and contemporary works on empirical asset pricing
• Programming / Code examplesTo support the project work: R code examples for typical problems are provided and discussed

Teaching method

• Discussion of scholarly worksDerive fundamental tests of asset pricing models and central research literature together
• Group project workIndependent application of learned methods to an empirical problem and preparation of a seminar paper
• Code demonstrations in RSupport for the empirical implementation of typical tasks