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Course: 2018/2019

Advanced Empirical Methods in Finance

(17185)

Study: Master in Business and Finance (69)

EPE

Coordinating teacher: MORENO MUÑOZ, JESUS DAVID

Department assigned to the subject: Department of Business Administration

Type: Electives

ECTS Credits: 6.0 ECTS

Course: 2º

Semester: 1º

Students are expected to have completed

Quantitative Methods I & II, Research Methods, Financial Economics, Corporate Finance I & II

Competences and skills that will be acquired and learning results.

- 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

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

A final closed-book exam (60%) 
Reading papers, oral presentations, homeworks (40%)

% 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 and the academic weekly planning may change due academic events or other reasons.