Toggle topbar
北京大学国家发展研究院

教学项目

sidenav header background
sidenav background

实证金融学——2015年秋季学期双学位课程介绍

发布日期：2015-09-11 10:59    来源：北京大学国家发展研究院

 

Instructor

Zhuo Huang

zhuohuang@nsd.pku.edu.cn
 

Empirical Finance

Time

  Tuesday and Wednesday 11-12  19:40-21:30   (1-12 weeks, only 3 units)

 

Location

 

理教203

 

Language

 

English          

 

TA

 

Shihan Shen  ssh1992@163.com

        

Course Objectives

 

In this course, we use empirical methods and econometric models to investigate several key issues in finance, including predictability of financial returns, portfolio management, capital asset pricing model, multi-factor model, return-risk trade-off, high-frequency data and estimation of option pricing models.

 

Prerequisite

Intermediate econometrics

Undergraduate finance or financial economics

Basic MATLAB, R, SAS or other programming skills

 

Grading:

The course grade will depend on class participation (10%), homework assignments (40%) and one final exam (50%).

Final Exam Date:

     December 2 Wednesday 19:40-21:30

 

Topics Covered:

Review of econometric methods Describing financial returns Volatility modeling Risk management High frequency financial data Predictability of financial returns Mean-variance analysis   Capital asset pricing model (CAPM)  Multi-factor model Conditional capital asset pricing models  Other selected topics   

 

Course Materials

Lecture notes will be provided in class.

Financial Econometrics Notes by Kevin Sheppard, University of Oxford, 2013.

Two textbooks below are recommended to read, but not required.

Financial Economics by Frank J. Fabozzi, Edwin H. Neave, Guofu Zhou, 2012

Asset Pricing  by John H. Cochrane, Princeton University Press, 2005.  


朗润

国家发展研究院官方微信

国家发展研究院官方微信
点击关注点击关注

相关链接

Copyright© 1994-2012 北京大学 国家发展研究院 版权所有, 京ICP备05065075号-1
保留所有权利，不经允许请勿挪用