Course Materials: Restricted

This course represents an advanced study of empirical research methods in financial economics. We focus on the empirical techniques used most often in the analysis of financial markets and how they are applied to actual market data. The tentative list of topics includes (a) statistical properties of asset returns, (b) tests of asset pricing models (CAPM, APT, Intertemporal CAPM, Consumption CAPM), (c) efficient markets hypothesis, (d) event study methodology; and (e) miscellaneous topics (e.g. chaos and nonlinear dynamics, portfolio performance evaluation, term structure of interest rates, valuation of corporate debt, pricing derivative assets, market microstructure, international finance). The relative emphasis that each topic receives within category (e) will depend on the interests of the students.