The Single Index Model
Testing Portfolio Efciency
Linear Models For Equity Return Processes
MFIN6201
Dr. Konark Saxena1
1 Australian
School of Business, University of New South Wales
August 19, 2013
T
Australian School of Business
School of Banking and Finance
MFIN6201
EMPIRICAL TECHNIQUES IN FINANCE
COURSE OUTLINE
SEMESTER 2, 2011
TABLE OF CONTENTS
PART A. COURSE SPECIFIC INFORMATION
1
1. STAFF CO
Empirical Techniques and
Applications in Finance
Week 5
Dr Konark Saxena
Outline
1. Simulation
A. The mean and standard error of
B. Regression R2
C. Regression standard error
2. Review:
1. Omitted Var
1. ~The five Axioms of Choice Under Uncertainty
~Investors always choose the outcome that maximizes theirs
expected utility
of wealth.
~The total utility must increase at a decreasing rate.
~The denom
Data Analysis - Random Sampling
http:/cameron.econ.ucdavis.edu/excel/ex01access.html
http:/www.bettersolutions.com/default.aspx
ADDING-IN THE DATA ANALYSIS TOOLPACK TO EXCEL
Statistical analysis such
Review Quiz Week 8
1. Assuming homoscedasticity and no correlation, how do we estimate
variance of the OLS estimator?
2. Without assuming homoscedasticity and no correlation, how do we
estimate varian
Review Quiz Week 6
1. What is the fitted value of Y given an OLS estimators vector? Also
describe it in words.
2. What is the difference between centered and uncentered R squared?
Why are they differe
Review Quiz Week 5
1. Is an unbiased estimator for the variance? If not, how to correct it?
2. You have 1000 time series of a stock return and want to estimate the
volatility. What is a consistent est
Review Quiz Week 4
1. What is expected value of sample average?
2. What is the difference between consistency and unbiaseness?
3. What is the BLUE of expected value? Why?
4. What is CLT?
5. What is LL
Review Quiz Week 3
1. Show Var[Y]=bVar[X] where Y=bX
2. Show Var[X]=E[X]-(E[X])
3. Show Cov(a+bX,Y)=bCov(X,Y).
4. What is the expected return on Virgin Australia given that the market is
up?
VA return
Empirical Methods and Techniques in
Finance
Konark Saxena1
1 University
of New South Wales
September 5, 2017
Macro News Moves the Market
Change in interest rates
Change in employment rates
Change in i
MFIN6201
Empirical Techniques and Applications in
Finance
Week 4
Dr. Jaehoon Lee
School of Banking and Finance
University of New South Wales
e-mail: [email protected]
Semester 2, 2017
Last updat
MFIN6201
Empirical Techniques and Applications in
Finance
Week 3
Dr. Jaehoon Lee
School of Banking and Finance
University of New South Wales
e-mail: [email protected]
Semester 2, 2017
Last updat
FINS1613
Business Finance
Week 12
CAPM, Cost of Capital, Capital Structure
Agenda
CAPM
Market Efficiency
Risk and Return
Portfolio Diversification
Beta and CAPM
Cost of Capital
Weighted Average Cos
FINS1613
Business Finance
Week 12
CAPM, Cost of Capital, Capital Structure
Agenda
CAPM
Market Efficiency
Risk and Return
Portfolio Diversification
Beta and CAPM
Cost of Capital
Weighted Average Cos
Your projected income statement shows sales of $992 000, cost of goods sold as $478 000,
depreciation expense of $105 000 and taxes of $ 122 700 due to a tax rate of 30%. What are your
projected earni
FINS1613
Business Finance
Week 6
Project Valuation
Agenda
Net Present Value (NPV)
Internal Rate of Return (IRR)
Payback Period
Additional Considerations
Sally Qin
Profitability Index
Equivalent
FINS1613
Business Finance
Week 5
Debt
Agenda
Capital Structure
Debt
Bond terminology
Bond Valuation
Bond Relationships
Inflation and Interest Rates
Term Structure of Interest Rates
Sally Qin
2
Capit
MFIN6201
Empirical Techniques and Applications in
Finance
Week 4 (extra)
Dr. Jaehoon Lee
School of Banking and Finance
University of New South Wales
e-mail: [email protected]
Semester 2, 2017
La
MFIN6201
Empirical Techniques and Applications in
Finance
Week 2
Dr. Jaehoon Lee
School of Banking and Finance
University of New South Wales
e-mail: [email protected]
Semester 2, 2017
Last updat
Review Quiz Week 2
1. Calculate
AB where A= and B=.
2. Calculate
AB where A= and B=.
3. Calculate
Inverse of A where A=
4. Explain why we need to study matrix algebra for econometrics.
5. What kind ma
State No. State of the economy
1 Depression
2 Recession
3 Normal
4 Good
5 Boom
Mean
Probability of Loss
Variance
Standard Deviation
Covariance (wrt Market)
Correlation (wrt Market)
Beta (wrt Market)
P
A Markov chain problem:
Let us assume that in a particular land the weather can be classified as
rainy (R), nice (N) and snowy (S).
They never have two nice days in a row. If they have a nice day,
th
Panel Data: What and Why
(SW Section 10.1)
A panel dataset contains observations on multiple entities
(individuals, states, companies), where each entity is
observed at two or more points in time.
Hyp
This subject requires a certain degree of fluency with basic results that underlie econometic
analysis. Some of these results require practice to understand, more than simply listening in
class. I rec