Digital Reading Room 2.0 -- FNCE 405v2: Empirical Finance

FNCE 405v2: Empirical Finance Report a Broken Link

This course examines the major methods and findings in empirical studies in finance, with emphasis on the efficient markets hypothesis and its applications. Topics covered include testability of the capital asset pricing model, arbitrage pricing theory, risk premiums, environmental impacts on financial assets, and even topics in economics such as Uncovered Interest Parity.

Lesson 1

Supplementary Readings

You will explore the Mergent Online database in Learning Activity 1.3. You are encouraged to become familiar with this resource as it may be valuable for your final project work.

Lesson 2

Required Readings

Jensen, M. C. (1968). The performance of mutual funds in the period 1945–1964. The Journal of Finance, 23(2), 389–416. https://doi.org/10.1111/j.1540-6261.1968.tb00815.x

Please note this is also a required reading in Lesson 3.

Lesson 3

Supplementary Readings

CANSIM, via the University of Toronto's Computing in the Humanities and Social Sciences (CHASS)

Access to Statistics Canada's computerized database of time series covering a wide variety of social and economic aspects of Canadian life

Lesson 4

Required Readings

Rehman, A., & Baloch, Q. B. (2016). Evaluating Pakistan’s mutual fund performance: Validating through CAPM and Fama French 3-factor model. Journal of Managerial Sciences, 10(1), 173–182.

Lesson 5

Required Readings

Keim, D. B. (1983). Size-related anomalies and stock return seasonality: Further empirical evidence. Journal of Financial Economics, 12(1), 13–32. https://doi.org/10.1016/0304-405X(83)90025-9

Supplementary Readings

Newey, W. K., & West, K. D. (1986). A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix (Technical Working Paper No. 55). National Bureau of Economic Research. https://www.nber.org/system/files/working_papers/t0055/t0055.pdf

The Newey-West procedure is used to adjust the standard errors in order to correct for both heteroscedasticity and autocorrelation in residuals, in such a way as to make hypothesis testing more conservative.

Weisstein, E. W. (n.d.). Skewness. In Wolfram MathWorld. https://mathworld.wolfram.com/Skewness.html

Contains some very readable and understandable explanations and definitions for the principles that underlie the concept of skewness.

Weisstein, E. W. (n.d.). Kurtosis. In Wolfram MathWorld. https://mathworld.wolfram.com/Kurtosis.html

Contains understandable and interesting descriptions and definitions for the principles that underlie the concept of kurtosis.

Lesson 6

Required Readings

Hirshleifer, D., & Shumway, T. (2003). Good day sunshine: Stock returns and the weather. The Journal of Finance, 58(3), 1009–1032. https://doi.org/10.1111/1540-6261.00556

Lesson 7

Required Readings

Jensen, M. C., Black, F., & Scholes, M. S. (1972). The capital asset pricing model: Some empirical tests. In M. C. Jensen (Ed.), Studies in the Theory of Capital Markets, Praeger. https://ssrn.com/abstract=908569

Please note that the original version was published with F. Black as the first author, so you may see the same paper cited as Black, Jensen, and Scholes (1972). However, the version most widely available and most commonly cited has M.C. Jensen as the first author, so this is the reference used in this course. Also note that APA guidelines for in-text citations have changed to encourage "et al." for papers with three or more authors, so the correct in-text citation is Jensen et al. (1972) or (Jensen et al., 1972).

Lesson 8

Required Readings

Jadevicius, A., & Huston, S. (2015). ARIMA modelling of Lithuanian house price index. International Journal of Housing Markets and Analysis, 8(1), 135–147. https://doi.org/10.1108/IJHMA-04-2014-0010

Please note this is also a required reading in Lesson 9.

Benvenuto, D., Giovanetti, M., Vassallo, L., Angeletti, S., & Ciccozzi, M. (2020). Application of the ARIMA model on the COVID-2019 epidemic dataset. Data in Brief, 29, 105340. https://doi.org/10.1016/j.dib.2020.105252

Supplementary Readings

Hydman, R. J., & Athanasopoulos, G. (2018). Forecasting: Principles and practice (2nd ed.). OTexts. https://otexts.com/fpp2/