Empirical Finance

URL study guide

https://studiegids.vu.nl/en/courses/2025-2026/E_FIN_EF

Course Objective

The student is able to:translate a financial research question into a modelling equation that can be operationalized for statistical or mathematical analysis. Apply various empirical models and methods
- ranging from linear regression, maximum likelihood, time series models and forecasting – on empirical data, using statistical software Report the results of his/her analysis clearly according to academic standards.

Course Content

This course offers students the opportunity to study advanced empirical research methods in finance. The objective is to increase the students' ability to understand and to apply empirical methods in finance. The course represents an integration of theory, methods and examples. We use R as our standard software. The aim of the course is to enable students to undertake their own quantitative research projects in practice. The course concentrates on the following methodologies: regression models, panel data, endogeneity and instrumental variables, non-linear models, logit / probit, credit risk, event studies, time series models, forecasting.

Teaching Methods

The programme consists of lectures and tutorials. In addition, there is case work and computer exercises. The purpose of the compulsory case work is to give students the practical skills for solving empirical finance problems.

Method of Assessment

Assignment(s), quizzes and exam.

Literature

Book: Introductory Econometrics for Finance, 4th Edition, Chris Brooks, Cambridge University Press. Slides and lecture notes. Relevant academic papers (to be indicated at the start of the course).

Target Audience

MSc Finance, including DHP-F&T.

Entry Requirements

Students should have a sound knowledge of introductory mathematics (including linear algebra) and statistics at the bachelor economics level and be familiar with key concepts of corporate finance, investments and financial markets. Indication of entry level:Sydsaeter and Hammond (2006, Prentice Hall): Essential Mathematics for Economic Analysis. Business Statistics Berenson, Levine, Krehbiel (2002): Basic Business Statistics. Brealey and Myers (2002): Principles of Corporate Finance, 7th ed. Bodie, Kane, and Marcus (1996): Investments.

Recommended background knowledge

QRM III
- Economics & Finance