Checking date: 25/03/2024


Course: 2024/2025

Advanced Empirical Methods in Finance
(17185)
Master in Business and Finance (Plan: 362 - Estudio: 69)
EPE


Coordinating teacher: MORENO MUÑOZ, JESUS DAVID

Department assigned to the subject: Business Administration Department

Type: Electives
ECTS Credits: 6.0 ECTS

Course:
Semester:




Requirements (Subjects that are assumed to be known)
Quantitative Methods I & II, Research Methods, Financial Economics, Corporate Finance I & II.
Objectives
- Identify key identification problems in Empirical Corporate Finance - Be familiar with the main econometric techniques used in the literature to solve/minimize identification challenges - Use the most appropriate technique to solve a particular empirical problem - Manage the main performance measures for portfolio managers evaluation - Be familiar with the main agency problems studied in the literature of mutual funds and other investment companies
Skills and learning outcomes
Description of contents: programme
1) Main identification concerns in an Empirical Corporate Finance Setting 2) Overview of methods to solve identification problems 3) Instrumental Variables 4) Experiments and Quasi-experiments: the difference-in-differences estimators 5) Regression discontinuity 6) Matching methods 7) Other methods: discrete choice models and introduction to structural estimation 8) Introduction to Investment Companies 9) Traditional Performance measures in IC 10) Others Performance Measures in IC 11) Empirical Research in IC: Corporate Governance, Agency Problems, Risk issues. (Special case:Outsourcing in Mutual funds)
Learning activities and methodology
- Discussion of the empirical strategy used in recently published papers in top journals - Empirical work using statistical and analytical software (STATA, R, Matlab, etc.) - Lectures There will be a regular schedule of office hours. Collective office hours will be arranged upon request.
Assessment System
  • % end-of-term-examination 60
  • % of continuous assessment (assigments, laboratory, practicals...) 40




Basic Bibliography
  • Bodie, Kane and Marcus. Investment. McGraw Hill. 2009
  • Michael R. Roberts and Toni M. Whited. Endogeneity in Empirical Corporate Finance. Simon School Working Paper No. FR 11-29.. october 2012
  • ¿ Fischer, B. R., and Russ, W. Performance Evaluation and Attribution of Security Portfolios. Academic Press . 2013

The course syllabus may change due academic events or other reasons.