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Durham University

Postgraduate Module Handbook 2021/2022

Archive Module Description

This page is for the academic year 2021-22. The current handbook year is 2022-23

Department: Economics and Finance

ECON474JN: Empirical Topics in Finance

Type Tied Level 4 Credits 15 Availability Not available in 2021/22
Tied to N3K109J Finance (commencing in January) (suspended for 21/22)
Tied to N3K209J Finance (Accounting and Finance) (commencing in January) (suspended for 21/22)

Prerequisites

  • None

Corequisites

  • Econometrics I (ECON415JN); Advanced Financial Theory (ECON412JN); and either Econometrics II (ECON416JN) or Financial Modelling and Business Forecasting (ECON421JN)

Excluded Combination of Modules

  • None

Aims

  • To enable students to:
  • acquire and demonstrate a specialist knowledge and understanding of quantitative aspects of finance
  • develop a critical understanding of empirical methods in different areas of finance
  • investigate new areas of development of empirical finance

Content

  • Empirical developments in portfolio selection.
  • Empirical aspects of factor models and asset pricing.
  • Portfolio performance measurement.
  • Event studies.
  • Short sales – price discovery, liquidity and volatility.
  • Option returns and portfolios with options.
  • Skewness and skewness persistence.

Learning Outcomes

Subject-specific Knowledge:
  • By the end of this module students should have a specialist knowledge and critical understanding of:
  • The ongoing quantitative research in finance
  • The application of econometric and quantitative methods to finance
Subject-specific Skills:
  • By the end of this module students should be able to:
  • Show underdstanding of differences in methodological approaches to address empirical research questions in finance
  • Select appropriate quantitative methods for research questions in finance and be able to apply those
Key Skills:
  • written communication;
  • planning, organising and time management;
  • problem-solving and analytical skills;
  • computer literacy
  • summarizing and critically assessing professional reports, statements and academic articles.

Modes of Teaching, Learning and Assessment and how these contribute to the learning outcomes of the module

  • A combination of lectures, seminars and guided reading will contribute to achieving the aims and learning outcomes of this module.
  • In-class presentations of journal papers and students’ projects will test students’ specialist knowledge and critical understanding of the current research.
  • Formative assessment will test the students’ progress during the term and their understanding of the covered material.
  • The summative assignment will test students' abilities to apply the methods and knowledge covered in the module to their own research project.

Teaching Methods and Learning Hours

Activity Number Frequency Duration Total/Hours
Lectures 9 1 per week 2 hours 18
Seminars 4 1 per fortnight 1 hour 4
Preparation and reading 128
Total 150

Summative Assessment

Component: Written Project Component Weighting: 100%
Element Length / duration Element Weighting Resit Opportunity
Written Project 2500 words (maximum) 100% same

Formative Assessment:

1000 word written assignment. Students will receive individual written feedback on the formative assignment.


Attendance at all activities marked with this symbol will be monitored. Students who fail to attend these activities, or to complete the summative or formative assessment specified above, will be subject to the procedures defined in the University's General Regulation V, and may be required to leave the University