FNCE 405: Empirical Finance at Athabasca University delves into how researchers test and analyze financial models you encountered in prior finance courses (like CAPM and APT). This course emphasizes the efficient markets hypothesis and its applications, along with topics like risk premiums, environmental impacts on investments, and even economic concepts like Uncovered Interest Parity. By critically evaluating research and performing quantitative analysis on financial data (using regression, time series modelling, and forecasting), you'll gain practical research skills. The culminating project lets you apply these concepts to real-world data, potentially sparking your interest in a specific area of finance research.

✔ Main topics to be covered:

• Introduction to Empirical Finance
• Classical Linear Regression Analysis (I)
• Classical Linear Regression Analysis (II)
• Violations of CLRM Assumptions (I)
• Violations of CLRM Assumptions (II)
• Violations of CLRM Assumptions (III)
• Univariate Time Series Modeling: MA(q) and AR(p) processes
• Univariate Time Series Modeling: Box-Jenkins Approach
• Exponential Smoothing and Forecasting