Course Details in 2022/23 Session

Module Title	LM Financial Econometrics
School	Birmingham Business School
Department	Finance
Module Code	07 36331
Module Lead	Danny McGowan
Level	Masters Level
Credits	20
Semester	Semester 1
Pre-requisites
Co-requisites
Restrictions	None
Contact Hours	Lecture-30 hours Seminar-10 hours Guided independent study-160 hours Total: 200 hours
Exclusions
Description	This module covers a wide range of econometric technique used for empirical investigation in the area of financial economics. Students are introduced to econometric techniques reported in recent empirical findings based on asset pricing, financial intermediation and corporate finance models. This applied module includes a selection of the following topics: multivariate regression, maximum likelihood and methods of moments estimation, hypothesis testing, omitted variables and misspecification, asymptotic theory, measurement error and instrumental variables, difference-in-difference estimation, regression discontinuity designs, time-series modelling, volatility modelling; generalised method of moments estimation, panel data regression, event study analysis and qualitative response models. Other topics that will be considered in the module include the use of AI and machine learning in investments.
Learning Outcomes	By the end of the module students should be able to: Critically explain key theoretical underpinnings and practical applications of financial econometrics in various financial and non-financial decision making contexts; Design, estimate and evaluate econometric models using financial, economic and business data sets; Critically assess various implicit assumptions of, and determine the limitations, underlying empirical models based on financial and business data sets; Evaluate relative strengths and weaknesses of each of these techniques and models, and determine suitability of their applications; Interpret and critique results obtained from using each of these econometric techniques and models; and Critically evaluate econometric models employed in empirical academic literature in areas of economics, banking and finance.
Assessment	36331-01 : Continuous Assessment : Class Test (20%) 36331-02 : Group Assignment : Group Assessment - Coursework (30%) 36331-03 : Exam : Exam (Centrally Timetabled) - Mixed (50%)
Assessment Methods & Exceptions	Main assessment: continuous assessment (20%), 5,000 word group assignment (30%) & 2 hour exam (50%). Reassessment: Students who fail the module resit the failed component(s) only. 1 hour MCQ test (20%), 1,500 word individual assignment (30%) & 2 hour exam (50%)
Other
Reading List