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Durham University

Postgraduate Modules 2019/2020

Module Description

Please ensure you check the module availability box for each module outline, as not all modules will run in each academic year. Each module description relates to the year indicated in the module availability box. Please be aware that modules may change from year to year, and may be amended to take account of, for example: changing staff expertise, disciplinary developments, the requirements of external bodies and partners, and student feedback.

No such Code for pgprog: L1K209
No such Code for pgprog: L1K309
No such Code for pgprog: L1K709
No such Code for pgprog: L1K809
No such Code for pgprog: L1K609
No such Code for pgprog: L1K509
No such Code for pgprog: L1K109

Department: Economics and Finance

ECON47415: Empirical Topics in Finance

Type Tied Level 4 Credits 15 Availability Available in 2019/20
Tied to L1K209
Tied to L1K309
Tied to L1K709
Tied to L1K809
Tied to L1K609
Tied to L1K509
Tied to L1K109
Tied to N3K109 Finance
Tied to N3K209 Finance (Accounting and Finance)
Tied to N3K309 Finance (Corporate and International Finance)
Tied to N3K409 Finance (Finance and Investment)
Tied to N3K509 Finance (International Money, Finance and Investment)
Tied to N3K609 Finance (International Banking and Finance)
Tied to N3K709 Finance (Economics and Finance)

Prerequisites

  • None

Corequisites

  • Econometrics I (ECON41515); Advanced Financial Theory (ECON41215); and either Econometrics II (ECON41615) or Financial Modelling and Business Forecasting (ECON42115)

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 Contact 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


    If you have a question about Durham's modular degree programmes, please visit our User Guide. If you have a question about modular programmes that is not covered by the User Guide, or a query about the Postgraduate Module Handbook, please contact us using the Comments and Questions form below.