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This course surveys both empirical and theoretical research approaches in asset pricing, corporate finance, banking, and macro-finance. This course aims to acquaint us with these methods and techniques for conducting original studies in finance. To complement existing courses, much emphasis of this course is on applied econometrics and empirical corporate finance.
本课程介绍资产定价，公司融资，金融中介和宏观金融方面的实证和理论研究方法。本课程旨在使我们熟悉这些研究方法并在进行原创性的研究时使用这些方法。为了与现有课程相辅相成，本课程的重点是应用计量经济学和实证公司财务。
The book shows how the basic tools of applied econometrics allow the data to speak. In addition to econometric essentials, the book covers important new extensions--regression-discontinuity designs and quantile regression--as well as how to get standard errors right. Joshua Angrist and J rn-Steffen Pischke explain why fancier econometric techniques are typically unnecessary and even dangerous. The applied econometric methods emphasized in this book are easy to use and relevant for many areas of contemporary social science.
By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis.
The book includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
K: Knowledge outcomes; S: Skill outcomes; V: Values and attitudes outcomes
