Methodological Research Seminar

Master 2020/2021

Type: Elective course (Strategic Corporate Finance)

Area of studies: Finance and Credit

Delivered by: School of Finance

Where: Faculty of Economic Sciences

When: 1 year, 1, 2 module

Mode of studies: offline

Instructors: Victoria V. Dobrynskaya, Madina Karamysheva, Pavel Malyshev, Anastasia N. Stepanova, Veronika Vinogradova

Master’s programme: Strategic Corporate Finance

Language: English

ECTS credits: 5

Contact hours: 56

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Abstract

The research seminar is aimed to introduce the master students to the world of research in the area of finance. Research in this area applies specific mathematical and econometrical methods, as well as the perfect data mining skills. The course includes the methodological part and the topic development part. Both parts of the research seminar aim to help students to develop the academic writing skills and a number of soft skills that are useful for a financier (e.g. presentation skills, team work, project management). The first part of research seminar aims at fostering discussion and interaction on some topics as Omitted variable problem, Simultaneity, Measurement error, Selection, Event Studies etc. with examples of Corporate Finance papers. Key recent papers will be selected and discussed among the participants. The objective is to develop the necessary tools and understanding for future identification and implementing in research. Simulation of real conference/seminar format as well as writing of a short literature review will help participants to get the initial core techniques of scientific work. To follow this course the basic courses of finance and microeconomics are the prerequisites.

Learning Objectives

To provide the student with proper tools and skills for starting their own research in the area of finance.

Expected Learning Outcomes

Deal with a number of econometric problems frequently faced in financial research (including Omitted variable problem, Simultaneity, Measurement error, Selection Bias)
Explain and demonstrate using empirical data the challenges to the efficient market hypothesis
Explain the nature of biases rooted in data mining and statistical methods
Work in the method of Event Study
Formulate his or her own research question
Prepare the literature review for his or her master thesis
To formulate research hypotheses
Choose and apply the proper methods to test the hypotheses
Know how to do the data-mining in financial and investment sphere

Course Contents

Topic 1. How to write a research paper in finance. Formal and informal requirements to master theses.
Idea search. What to read? How to find the idea and a motivation? How to start writing? Formal and informal requirements to master theses.
Topic 3. Econometrics problems in finance & Event study techniques. Madina Karamysheva.
Topic 4. Multifactor asset pricing models. Victoria Dobrynskaya
3- factor Fama-French model, 4-factor Carhart model, 4-factor Fama-French model with global and local factors, liquidity risk factor, 3-moment CAPM with coskewness, 2-beta CAPM with upside and downside betas, downside risk factor, volatility risk factor, 3-factor CAPM with global value and momentum factors, 5-factor Fama-French model. Methodology for testing multifactor models: Fama- MacBeth methodology with constant and time-varying betas, Hansen’s GMM with singular and efficient weighting matrices.
Topic 6. The integrated / non-financial reporting of the companies.
Integrated reporting as a means of communication with external stakeholders. Stages of development of non-financial reporting: an analysis of existing solutions on the market. Technical approaches and modern tools for non-financial reporting. The problems and risks arising from the preparation of non-financial reports. Audit of non-financial reports.
Topic 5. Financial reporting quality: is fair value a plus or a minus.
History of fair value concept. Measurement of fair value under IFRS. Valuation techniques. Specific disclosures required. Determining the fair value of the assets/liabilities in M&A transactions. Determining the fair value of the identifiable intangible assets and contingent liabilities. Calculation of goodwill - positive or negative. Impairment of goodwill - indicators and triggers. The shortcomings of fair-value accounting. Adaptability to fair value accounting in an emerging economy

Assessment Elements

Обзор литературы
Домашнее задание по тематикам семинаров. Презентации самостоятельных исследований
Репликация статьи
Домашнее задание по тематикам семинаров. Презентации самостоятельных исследований
Посещение семинаров
Презентация ВКР (предзащита)
Обзор литературы
Домашнее задание по тематикам семинаров. Презентации самостоятельных исследований
Репликация статьи
Домашнее задание по тематикам семинаров. Презентации самостоятельных исследований
Посещение семинаров
Презентация ВКР (предзащита)

Interim Assessment

Interim assessment (2 module)
0.3 * Обзор литературы + 0.1 * Посещение семинаров + 0.3 * Презентация ВКР (предзащита) + 0.3 * Репликация статьи

Bibliography

Recommended Core Bibliography

Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, (1), 1. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.a.eee.jfinec.v116y2015i1p1.22
Reuter, O. J., & Robertson, G. B. (2012). Subnational Appointments in Authoritarian Regimes: Evidence from Russian Gubernatorial Appointments. Journal of Politics, 74(4), 1023–1037. https://doi.org/10.1017/S0022381612000631

Recommended Additional Bibliography

Kothari, C. R. (2004). Research Methodology : Methods & Techniques (Vol. 2nd rev. ed). New Delhi: New Age International. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=277465

Course Syllabus