Магистратура
2023/2024
Семинар наставника
Статус:
Курс обязательный (Стратегическое управление финансами фирмы)
Направление:
38.04.08. Финансы и кредит
Кто читает:
Школа финансов
Где читается:
Факультет экономических наук
Когда читается:
2-й курс, 1-4 модуль
Формат изучения:
без онлайн-курса
Охват аудитории:
для своего кампуса
Прогр. обучения:
Стратегическое управление финансами фирмы
Язык:
английский
Кредиты:
6
Контактные часы:
28
Course Syllabus
Abstract
This seminar focuses on empirical asset pricing and the study of stock return predictability. Why do some investment strategies work? Why do well-known anomalies such as value, momentum, or size sometimes disappear or break down? How can new signals be identified and tested? What distinguishes a real asset-pricing effect from data mining, and how can we evaluate whether a strategy is economically meaningful rather than just statistically significant?
During the seminar, we will discuss the main academic approaches used in modern empirical asset pricing, including portfolio sorts, factor models, return predictability tests, robustness checks, and the economic interpretation of anomalies. We will also look at newer directions, including investor beliefs, textual signals, and alternative data.
This seminar is designed for students who are interested in research and want to learn how to formulate a research question, work with financial data, design empirical tests, interpret results, and gradually develop an independent research project. It is especially suitable for students considering an academic career, a PhD, or research-oriented roles in asset management and quantitative finance.
Expected Learning Outcomes
- The student realises the value of the exact courses and activities for herself.
- The student selects a research area, appropriate seminars, and reaches an agreement with a potential supervisor.
- Student performs a wide range of research tasks on various industries and topics, from collecting market statistics to modeling the market and developing forecasts
Course Contents
- Mentoring on the choice of the courses
- Mentoring on the choice of research direction
- Mentoring on the research and practical activities
Assessment Elements
- Project proposalThe student presents the detailed research proposal including hypotheses, motivation, data, potential limitations and predicted results.
- Project proposal. Step 1
- Presentation of preliminary results
