研究生公共选修课课程大纲.doc

研究生公共选修课课程大纲 课程名称 授课教师： 吴国俊 课内学时: 36 学分：2 开课时间：08-09第一学期 课程类别:选修 课次 时 间 星 期 地 点 1 10月7日 下午1：00~5：00 星期二 4307 2 10月9日 下午1：00~5：00 星期四 4307 3 10月14日下午1：00~5：00 星期二 4307 4 10月16日下午1：00~5：00 星期四 4307 5 11月25日下午1：00~5：00 星期二 4307 6 11月27日下午1：00~5：00 星期四 4307 7 12月2日 下午1：00~5：00 星期二 4307 8 12月4日 下午1：00~5：00 星期四 4307 教学目的: 学习分析金融学实证的方法，回顾金融学经典研究成果，使学生能具有基本的金融学实证研究的能力 课程内容: 资产定价模型实证、市场结构分析、风险模型、投资者行为。 课程大纲： Guojun Wu Empirical Methodology in Finance 2008 Course Outline This seminar course will expose graduate students to the more commonly used empirical methods in the financial literature. Since it is an application-oriented course, I assume that students have had exposure to both finance and econometrics at the graduate level. I will not teach either finance or econometrics, but rather important applications of the latter in testing basic financial models. An objective of this course is to familiarize you with the most important empirical work in finance during the past decades. Hopefully this will help guide your future theoretical work if theory is your research focus, or help you identify interesting empirical issues so you will be able to start conducting your own research. The pedagogy of the course involves both lectures by me and presentations by students of specific papers in the literature. Please read all the assigned material for each class whether you are presenting or not, since that is the only way you will learn in this class. The course grade will be based on class participation (10%), presentation of one/two papers (40%), and a project (50%). The presenter must submit (to me by email) presentation slides (MS Word or Powerpoint) three days before the class meeting. The project will be a term paper that should demonstrate your ability to analyze economic data within the context of an economic problem of your choice. You are advised to read these papers early. I. Market Microstructure Biases and Estim