In Financial data analysis students are introduced to recent empirical findings based on asset pricing and corporate finance models, in particular: predictability of asset returns; event study analysis; econometric tests of the CAPM and multifactor models.
Main topics of the module include:
- Multivariate regression
- Hypothesis testing
- Omitted variables and misspecification
- Time-series modelling
If you complete the course successfully, you should be able to:
- Conduct ordinary least squares (OLS) regression with single and multiple regressors
- Outline and critically assess the assumptions and limitation of OLS
- Evaluate the regression results and conduct hypothesis testing
- Identify and control for omitted variable biases and endogeneity
- Apply regression techniques to time series data.
Unseen written exam (3 hrs).
- Introduction to Econometrics by James Stock and Mark Watson, Pearson.
Course information sheets
Download the course information sheets from the LSE website.