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Regular version of the site

Research Seminar "Empirical Corporate Finance"

2019/2020
Academic Year
ENG
Instruction in English
4
ECTS credits
Delivered at:
School of Finance
Course type:
Elective course
When:
1 year, 1, 2 module

Instructors

Программа дисциплины

Аннотация

The research seminar is aimed to introduce the master students to the world of research in the area of finance. Research in this area applies specific mathematical and econometrical methods, as well as the perfect data mining skills. The course includes the methodological part and the topic development part. Both parts of the research seminar aim to help students to develop the academic writing skills and a number of soft skills that are useful for a financier (e.g. presentation skills, team work, project management). The first part of research seminar aims at fostering discussion and interaction on some topics as Omitted variable problem, Simultaneity, Measurement error, Selection, Event Studies etc. with examples of Corporate Finance papers. Key recent papers will be selected and discussed among the participants. The objective is to develop the necessary tools and understanding for future identification and implementing in research. Simulation of real conference/seminar format as well as writing of a short literature review will help participants to get the initial core techniques of scientific work. To follow this course the basic courses of finance and microeconomics are the prerequisites.
Цель освоения дисциплины

Цель освоения дисциплины

  • To provide the student with proper tools and skills for starting their own research in the area of finance.
Результаты освоения дисциплины

Результаты освоения дисциплины

  • Deal with a number of econometric problems frequently faced in financial research (including Omitted variable problem, Simultaneity, Measurement error, Selection Bias)
  • Explain and demonstrate using empirical data the challenges to the efficient market hypothesis
  • Explain the nature of biases rooted in data mining and statistical methods
  • Work in the method of Event Study
  • Formulate his or her own research question
  • Prepare the literature review for his or her master thesis
  • To formulate research hypotheses
  • Choose and apply the proper methods to test the hypotheses
  • Know how to do the data-mining in financial and investment sphere
Содержание учебной дисциплины

Содержание учебной дисциплины

  • Topic 1. How to write a research paper in finance. Formal and informal requirements to master theses.
    Idea search. What to read? How to find the idea and a motivation? How to start writing? Formal and informal requirements to master theses.
  • Topic 2. Databases and resources by the HSE library and their use in the studies in corporate finance.
  • Topic 3. Econometrics problems in finance & Event study techniques. Madina Karamysheva.
  • Topic 4. Multifactor asset pricing models. Victoria Dobrynskaya
    3- factor Fama-French model, 4-factor Carhart model, 4-factor Fama-French model with global and local factors, liquidity risk factor, 3-moment CAPM with coskewness, 2-beta CAPM with upside and downside betas, downside risk factor, volatility risk factor, 3-factor CAPM with global value and momentum factors, 5-factor Fama-French model. Methodology for testing multifactor models: Fama- MacBeth methodology with constant and time-varying betas, Hansen’s GMM with singular and efficient weighting matrices.
  • Topic 5. Financial reporting quality: is fair value a plus or a minus.
    History of fair value concept. Measurement of fair value under IFRS. Valuation techniques. Specific disclosures required. Determining the fair value of the assets/liabilities in M&A transactions. Determining the fair value of the identifiable intangible assets and contingent liabilities. Calculation of goodwill - positive or negative. Impairment of goodwill - indicators and triggers. The shortcomings of fair-value accounting. Adaptability to fair value accounting in an emerging economy
  • Topic 6. The integrated / non-financial reporting of the companies.
    Integrated reporting as a means of communication with external stakeholders. Stages of development of non-financial reporting: an analysis of existing solutions on the market. Technical approaches and modern tools for non-financial reporting. The problems and risks arising from the preparation of non-financial reports. Audit of non-financial reports.
Элементы контроля

Элементы контроля

  • неблокирующий Created with Sketch. Обзор литературы
    Домашнее задание по тематикам семинаров. Презентации самостоятельных исследований
  • неблокирующий Created with Sketch. Репликация статьи
    Домашнее задание по тематикам семинаров. Презентации самостоятельных исследований
  • неблокирующий Created with Sketch. Посещение семинаров
  • неблокирующий Created with Sketch. Презентация ВКР (предзащита)
Промежуточная аттестация

Промежуточная аттестация

  • Промежуточная аттестация (2 модуль)
    0.3 * Обзор литературы + 0.1 * Посещение семинаров + 0.3 * Презентация ВКР (предзащита) + 0.3 * Репликация статьи
Список литературы

Список литературы

Рекомендуемая основная литература

  • Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, (1), 1. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.a.eee.jfinec.v116y2015i1p1.22
  • Reuter, O. J., & Robertson, G. B. (2012). Subnational Appointments in Authoritarian Regimes: Evidence from Russian Gubernatorial Appointments. Journal of Politics, 74(4), 1023–1037. https://doi.org/10.1017/S0022381612000631

Рекомендуемая дополнительная литература

  • Kothari, C. R. (2004). Research Methodology : Methods & Techniques (Vol. 2nd rev. ed). New Delhi: New Age International. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=277465