f532outl10 - UNIVERSITY OF ROCHESTER William E Simon...

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UNIVERSITY OF ROCHESTER William E. Simon Graduate School of Business Administration FIN 532 Professor G. William Schwert Advanced Topics in Capital Markets CS 3-110L, 275-2470 Spring 2010 Fax: 461-5475 Email: [email protected] Secretary: Kathleen Madsen CS3-110M, 585-275-8127 email: [email protected] This course examines a variety of econometric methods for addressing substantively important questions in financial research. We will have one class meeting per week. Grading will be flexible – students will have input to determine what type of evaluation procedure will be used. There will be several homework problems assigned throughout the quarter. One of the homework assignments will involve replicating and extending some empirical results that are reported in some of the papers we are going to be discussing in class (or in another paper that we mutually agree on). This course will cover material on efficient markets, CAPM tests, interest rates, inflation, time- varying conditional expected returns and volatility, and liquidity. Emphasis will be on the application of empirical methods to financial data. The reading assignments will be announced in class and will more or less follow the sequence given below. You will be provided with copies of required readings (shown with an asterisk * below). I have included additional references, which are not required , for students who want more information on particular topics. These are not on reserve, but copies of these journals are available in the Management Library (and they are available electronically through the Management Library). The recommended books for the course are: John H. Cochrane, Asset Pricing , Princeton University Press, revised ed., 2005(hereafter JC ). John Y. Campbell, Andrew W. Lo, and A. Craig MacKinlay, The Econometrics of Financial Markets , Princeton University Press, 1996 (hereafter CLM ). James D. Hamilton, Time Series Analysis , Princeton University Press, 1994 (hereafter JH ). I will put these books on reserve in the library.
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FIN 532 - Advanced Topics in Capital Markets 2 Prof. Schwert Spring 2010 There may be some guest lecturers (other faculty members and Ph.D. students). In addition, I will ask each student who is registered for the course to be responsible for leading the discussion of one or more related papers during some part of the course. Of course, I will be available to help you plan your lecture, and I will supplement what you say in class. You should find a topic that interests you and volunteer early. This course is intended to help you overcome fear of using new methods to analyze problems that interest you. If you have a specific topic or area of interest that is not currently on the outline, I would be glad to consider adding/substituting that material into the course. Course Information on the Wide World Web (WWW)
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f532outl10 - UNIVERSITY OF ROCHESTER William E Simon...

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