Finance (FNCE) 405
Empirical Finance (Revision 1)
Area of Study: Applied Studies
(Business and Administrative Studies)
Centre: Faculty of Business
FNCE 405 has a Challenge for Credit option.
Finance 405: Empirical Finance examines 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, and environmental impacts on financial assets. The course also explores topics in economics such as uncovered interest parity.
FNCE 405 is one of the core courses for the Financial Services major in the Bachelor of Commerce program. This course relates students' knowledge of finance models such as the CAPM and APT to work done by researchers to prove or disprove these models. Students also read and critically examine empirical research literature in finance and learn how to perform quantitative analysis on financial data series, such as
- classical regression analysis
- univariate time series modelling and forecasting
As part of the requirements for this course, students must complete a research project that applies the concepts in the course to real-life data.
- Lesson 1: Introduction to Empirical Finance
- Lesson 2: Classical Linear Regression Analysis (I)
- Lesson 3: Classical Linear Regression Analysis (II)
- Lesson 4: Violations of CLRM Assumptions (I)
- Lesson 5: Violations of CLRM Assumptions (II)
- Lesson 6: Violations of CLRM Assumptions (III)
- Lesson 7: An Introduction to MA(q) and AR(p) processes
- Lesson 8: Box-Jenkins Approach
- Lesson 9: Forecasting
Your final grade in FNCE 405 is based on three assignments, a final project, and a Final Examination. You must achieve a minimum grade of D (50%) on the Final Examination and an overall course grade of “D” (50 percent). If you are taking FNCE 405 as one of the core courses for the Financial Services major in the Bachelor of Commerce program, check the AU online calendar for specific requirements. The following chart describes the credit weight associated with each assessment component:
|Assign 1||Assign 2||Assign 3||Final Project||Final Exam||Total|
The examination(s) for this course will be written in the traditional pen and paper format.
If you are not satisfied with the grade you receive on an examination, or if you receive a grade below D, you may write a supplemental examination. However, before writing a supplemental examination, you should thoroughly review the material covered and, if necessary, contact the Call Centre for information on areas where you lost marks on your first attempt. If you write a supplemental examination, your final grade will be the higher of the grades you receive on the supplemental or original examination.
To learn more about assignments and examinations, please refer to Athabasca University's online Calendar.
Brooks, C. (2006). Introductory econometrics for finance, Cambridge, UK: University Press, Cambridge.
All other materials will be available to students online.
The Challenge for Credit process allows students to demonstrate that they have acquired a command of the general subject matter, knowledge, intellectual and/or other skills that would normally be found in a university level course.
Full information for the Challenge for Credit can be found in the Undergraduate Calendar.
Paper Exam (3 hours)
Undergraduate Challenge for Credit Course Registration Form
Athabasca University reserves the right to amend course outlines occasionally and without notice. Courses offered by other delivery methods may vary from their individualized-study counterparts.
Opened in Revision 1, December 7, 2007.