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Empirical Finance

Dr Maria Chiara Iannino

Aim of the Course

This course aims to introduce financial econometrics with particular emphasis on its empirical applications. It provides students with the concepts of the econometric techniques widely applied in finance, and their hand-on applications and interpretations. It aims to develop computer skills in financial analysis, using the statistical package EViews.

Method of the Course

2-hour lectures will be intended to provide the students with theoretical and intuitive understanding of the econometric techniques. Additionally, 2-hour labs will be dedicated to hands-on computer work using the statistical software Eviews, with emphasis on the interpretation of the results.

The attendance is compulsory.

Topics covered in Lectures and Lab Classes

First Part

  1. Introduction of returns and basic data handling with Eviews
  2. Classical linear regression model
  3. Assumptions of the classical linear regression model
  4. Introduction of time series of financial data

Second Part

  1. Market efficiency and predictability
  2. Market efficiency and limits to arbitrage
  3. Stock market anomalies
  4. Empirical market microstructure
  5. CAPM, APT and multifactor models
  6. Fund performance
  7. Event studies
  8. Present-value models
  9. Term structure of interest rates
  10. Volatility models

Reading List

Main texbooks:

  • John Y. Campbell, Andrew W. Lo, and A. Craig MacKinlay (1997), The Econometrics of Financial Markets, Princeton University Press (selected chapters)
  • Chris Brooks, (2008), Introductory Econometrics for Finance, Cambridge University Press, (selected chapters)
  • Robert Sollis (2012), Empirical Finance for finance and banking, Wiley (selected chapters)

Other suggested reading list:

  • Gary Koop (2006) Analysis of Financial Data, Wiley (selected chapters)
  • K. Cuthbertson (2004), Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange, Wiley (selected chapters)
  • Stephen J. Taylor (2005) Asset price dynamics, Volatility and Prediction, Princeton University Press (selected chapters)
  • Terry J. Watson and Keith Parramore (1997) Quantitative methods in Finance, South-Western (selected chapters)
  • Dimitrious Asteriou and Stephen G. Hall (2007) Applied Econometrics, Palgrave Macmillan (selected chapters)
  • John H. Cochrane (2001) Asset Pricing, Princeton University Press.
  • I. Gusti Ngurah Agung (2009) Time Series Data Analysis Using Eviews, Wiley
  • Andrei Shleifer (2001), Inefficient markets, Oxford (selected chapters)
  • Nocholas Barberis and Richard Thaler (2003), A survey of Behavioral Finance, in Handbook of the Economics of Finance, ed. Constantinides, Harris and Stulz, Elsevier Science BV
Institut für Finanzwirtschaft
Fakultät für Wirtschaftswissenschaften
Universität Wien

Oskar-Morgenstern-Platz 1
1090 Wien
T: +43-1-4277-38262
F: +43-1-4277-838262
Universität Wien | Universitätsring 1 | 1010 Wien | T +43-1-4277-0