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Course Syllabus

2023/2024

Empirical Finance

Type: Optional course (faculty)
Delivered by: International College of Economics and Finance
Where: International College of Economics and Finance
When: 3, 4 module
Open to: students of one campus
Language: English
ECTS credits: 3
Contact hours: 32

Course Syllabus

Full Syllabus

Abstract

Emprical Finance is an elective course in the form of a research seminar for ICEF undergraduate and graduate students, included in the ICEF Academia programme. This seminar is for students who are interested in studying financial markets and instruments, asset-pricing models, investment strategies and alternative investments. We will talk about stocks, bonds, currencies, cryptocurrencies, real estate and other asset classes. This seminar is empirical and assumes working with financial data. It is also devoted to applied problems of modern finance, including sentiment analysis, where various mathematical methods and methods for assessing sentiments can be used, highlighting the main topics. The main goals of this section of seminar are to improve students' technical skills, show how to evaluate the positivity, negativity and fakeness of texts, and work with large amounts of textual information. Course prerequisites. Students need to know such courses as Financial Economics, Theory of Finance, Financial Econometrics. In addition, knowledge of Python or programming in Stata will be useful, but not required.
Learning Objectives

Learning Objectives

  • Study financial models, statistical methods for data analysis, research and modelling
  • Motivate students to start their own projects and use methods and knowledge acquired at compulsory and optional courses.
  • Develop students’ presentation skills and abilities to participate in academic discussions.
Expected Learning Outcomes

Expected Learning Outcomes

  • Develop professional and research skills of choosing and applying the right model.
  • Select appropriate method/model, check its correctness and applicability, write a program, back test model on historical data and make conclusions.
  • Apply professional knowledge and skills acquired while studying the course in research and practical areas including work in financial institutions and industry
Course Contents

Course Contents

  • Empirical Asset Pricing
  • Sentiment analysis in finance
Assessment Elements

Assessment Elements

  • non-blocking activity for empirical asset pricing
  • non-blocking activity for sentiment analysis
  • non-blocking Presentation for empirical asset pricing
  • non-blocking Presentation for sentiment analysis
Interim Assessment

Interim Assessment

  • 2023/2024 4th module
    0.21 * Presentation for empirical asset pricing + 0.49 * Presentation for sentiment analysis + 0.09 * activity for empirical asset pricing + 0.21 * activity for sentiment analysis
Bibliography

Bibliography

Recommended Core Bibliography

  • Asset pricing, Cochrane, J. H., 2005

Recommended Additional Bibliography

  • Eugene F. Fama, & Kenneth R. French. (1993). Common Risk Factors in the Returns On Stocks And Bonds. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.7308D8C2
  • Eugene F. Fama, & Kenneth R. French. (2004). The Capital Asset Pricing Model: Theory and Evidence. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.D1F2477F
  • 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