Units of Assessment

Weighting Towards Module Mark (%)

 

Group Project

50%

Individual Project

50%

Qualifying Condition(s) 

·        Good numerical skills and some statistical knowledge is desirable

·        Basic knowledge of MS Excel and/or a statistical software e.g. SPSS, Eviews, Stata.

·        Enthusiasm towards empirical analysis of finance and accounting issues.

A weighted aggregated mark of 40% is required to pass the module.

This module is an introduction to empirical research techniques in accounting and finance. It will focus on the most common statistical techniques used in the analysis of financial markets and how they are applied to real market data. Students on this module will be expected to replicate some published empirical research in finance using actual market data.

This module is designed to bridge the gap between theory and practice. A good understanding of finance theory to the level of Financial Management (or its equivalent in the case of exchange students) is therefore required. Hence, this module is only available to students who take Financial Management in Semester 1.

The module aims to develop a deeper understanding of finance through empirical research and to equip students with the necessary skills and techniques to conduct empirical studies in finance using real data. 

 Students will be taught some common methodologies used to test issues in finance such as: the predictability of stock returns, the impact of corporate events on stock prices, fund performance evaluation.

On completion of the module students will be able to:

 ·        Review research articles in return predictability, mutual fund performance, firm financing and payout policies.

 ·        Demonstrate awareness of common data sources for empirical finance research, such as Datastream, Bloomberg, etc, and ability to download data from available sources in the university.

 ·        Evaluate the predictability of stock returns, the impact of corporate events on the company’s stock price, corporate financing policies and the performance of fund managers using appropriate statistical techniques.

 ·        Discuss the validity and limitations of the empirical tests and evidence relating to these studies.

 ·        Independently carry out a research project on a selected topic and present the findings in the form of a research paper.

Indicative topics include:

·              Return predictability and anomalies

 ·              Introduction to regression analysis

 ·              Event study methodology: assessing the impact of corporate events on share price

 ·              Empirical studies on capital structure theories

 ·              Empirical studies on corporate payout policies

 ·              Fund performance evaluation

The teaching and learning strategy is designed to enable students to come to grips with what is essentially a practical and quantitative research module.

 ·              A 3-hour lecture will be held each week and would be used creatively to accommodate formal lectures, class discussion of research papers and computer lab workshops to demonstrate concepts.

 ·              Lecture material will be supported by directed reading of relevant journal articles and selected textbooks. Students are required to read the directed journal article(s) before the lecture.

 ·              Regular computer lab exercises to illustrate research techniques.

 ·              Utilizing ULearn as the main pool of resources including lecture handouts, tutorial problems, mock exercises, and discussions of common problems.

·              Feedback will be provided on a regular basis during lectures and on an individual or group basis during office hours. Feedback is also provided via ULearn discussion forums to address any issues related to the content, learning and teaching environment, and delivery of the module and/or specific topics.

 ·              In addition, the lecturer will be available for individual queries during weekly office hours and by e-mail.

 Assessment Strategy:

 ·              The assessment for this module is 100% coursework, consisting of a group research project and an individual research project. Students choosing this module will be working consistently throughout the module and regular class attendance is absolutely necessary.

 ·              Group research project (50%): Students in small groups (not exceeding 4) will be required to conduct a guided research replicating a research paper on a different dataset. This will be an application of a research methodology introduced in class. Each group will produce a project report and will present their findings in a class presentation.

 Students who fail the group research project, and also fail to achieve a module aggregate of 40%, will be required to submit an individual “re-sit” assignment for the group project.

 ·              Individual research project (50%) Each student will conduct an independent study, applying any of the research methodologies introduced in the module, on a topic selected in consultation with the module coordinator. The individual research report is due at the end of the module.

Essential Reading :

 There is no set textbook for this module. Detailed lecture programme and directed reading list will be provided at the beginning of the module.

  Recommended Reading

 These books will be useful as background reading.

Cuthbertson, K., and Nitzsche, D., (2004).  Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange, 2^nd edn. Wiley.

 Gujuarti, D., (2009).  Basic Econometrics. 5^th edn. McGraw-Hill.

 Hillier, D., Grinblatt, M., and Titman, S., (2008).  Financial Markets and Corporate Strategy: European Edition. McGraw-Hill.

 Seiler, M., (2004).  Performing Financial Studies: A Methodological Cookbook. Pearson.

 Studenmund, A. H., (2011).  Using Econometrics: A Practical Guide: International Edition. 6^th edn. Pearson.

Journal Articles

 Appropriate journal articles from leading finance journals will used in this module:

•  Journal of Banking and Finance

•  Journal of Business Finance and Accounting

•  Journal of Finance 

•  Journal of Financial Economics

•  The Review of Financial Studies