Syllabus

Title
4330 Financial Econometrics
Instructors
Assist.Prof. Maria Chaderina, Ph.D., Toni Whited, Ph.D., o.Univ.Prof. Dr. Josef Zechner
Contact details
Type
PI
Weekly hours
2
Language of instruction
Englisch
Registration
02/01/19 to 02/20/19
Registration via LPIS
Notes to the course
Subject(s) Doctoral/PhD Programs
Dates
Day Date Time Room
Monday 02/25/19 02:00 PM - 04:00 PM D4.0.019
Monday 04/01/19 09:00 AM - 02:00 PM D4.4.008
Tuesday 04/02/19 09:00 AM - 02:00 PM D4.4.008
Thursday 04/04/19 09:00 AM - 02:00 PM D4.4.008
Friday 04/05/19 09:00 AM - 01:00 PM D5.1.003
Monday 04/08/19 09:00 AM - 02:00 PM D4.4.008
Tuesday 04/09/19 09:00 AM - 02:00 PM D4.4.008
Wednesday 04/10/19 09:00 AM - 01:00 PM D5.1.003
Friday 04/12/19 09:00 AM - 02:00 PM D4.0.019

Contents

Endogeneity
GMM in cross-sectional and panel data
Measurement error
Corporate investment
Sample selection bias
Corporate diversification
Treatment-effect estimators
Corporate restructuring and some more investment
SMM

Syllabus

Learning outcomes

Students are introduced to important topics in empirical corporate finance and applied cross-sectional econometrics. They learn how to identify and deal with endogeneity, learn about the consequences of measurement errors and sample selection biases, and how to deal with these problems. Students learn how to apply treatment effect estimators and SMM.

Teaching/learning method(s)

All lecture notes, homework assignments, and readings can be found here. You should print out the lecture notes and bring them to class.

Assessment

Grades will be based on three items :

 

  • Take-home final exam: 40%. The take-home exam will consist mostly of essay style questions, but also a few problems.

 

  • Class participation: 30%. To get a good class participation grade, you must attend all class sessions and come prepared to discuss the articles on the reading list. Some of the articles are extremely technical. You need only read the introductions and conclusions to these papers. For the others you need to have read most if not all of the papers listed.

 

  • Homework: 30% There will be one computer-based homework assignment.

Prerequisites for participation and waiting lists

Basic Financial Econometrics

Readings

1

Availability of lecturer(s)

Other

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Last edited: 2019-02-18



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