Economics: Empirical Finance

The course focuses on empirical methods to analyse financial markets and address key questions in finance. You will study the statistical properties of asset returns, time-variation in risk and volatility, evaluation of portfolio performance and the determinants of interest rates. We also examine household financial choices and provide tools to evaluate how policies and events influence financial outcomes.

A central objective is to enable you to apply econometric techniques to real data and to critically assess the empirical validity of financial models. You will practice applying empirical methods to real-world data and learn how to interpret results using economic reasoning. By the end of the course, you will have gained insights and tools that are useful both for advanced studies and for careers in finance, policy analysis and related fields.

Course literature

The course literature listed may be updated up to eight weeks before the course begins.

The course combines lectures, computer-based labs and guest presentations. Lectures introduce core concepts and guide you through the design and interpretation of empirical studies in finance. Guest lectures provide additional perspectives from current research and practice. In the labs you work in small groups applying econometric methods to real financial data.

Assessment has three components:

1. compulsory computer exercises reports, where you report results from the computer lab,
2. an optional short essay critically evaluating a research article, and
3. a final written exam assessing your overall command of the material.

Together, the different forms of teaching and assessment are designed to ensure that you not only understand theoretical concepts but also acquire the practical skills to apply them.

Prerequisites

Students admitted to the Master Programmes in Finance are qualified for this course. For other students, at least 90 ECTS-credits in economics are required. These must include a course in basic financial economics, an intermediate course in microeconomics (e.g., NEKB21 "Intermediate Microeconomic Analysis"), and an intermediate course in econometrics, quantitative methods or an equivalent course (e.g., NEKB23 "Econometrics", or 15 ECTS-credits in statistics).

Selection criteria

Seats are allocated according to: ECTS (HPAV): 100 %.

Tuition fees for non-EU/EEA citizens

Citizens of countries outside:

• The European Union (EU)
• The European Economic Area (EEA) and
• Switzerland

are required to pay tuition fees. You pay an instalment of the tuition fee in advance of each
semester.

Tuition fees, payments and exemptions

Full programme/course tuition fee: SEK 18,750
First payment: SEK 18,750

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Note that you may also need to pay an application fee, or provide proof of exemption.

Application fee

No tuition fees for citizens of the EU, EEA and Switzerland

There are no tuition fees for citizens of the European Union (EU), the European Economic Area (EEA) and Switzerland.