Universität Wien

040050 KU Advanced BA/CF/FM: Causal Inference in Finance (MA) (2018W)

4.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften
Prüfungsimmanente Lehrveranstaltung
Moodle

An/Abmeldung

Hinweis: Ihr Anmeldezeitpunkt innerhalb der Frist hat keine Auswirkungen auf die Platzvergabe (kein "first come, first served").

Details

Sprache: Englisch

Lehrende

Termine (iCal) - nächster Termin ist mit N markiert

  • Dienstag 02.10. 16:45 - 18:15 Hörsaal 17 Oskar-Morgenstern-Platz 1 2.Stock
  • Dienstag 09.10. 16:45 - 18:15 Hörsaal 17 Oskar-Morgenstern-Platz 1 2.Stock
  • Dienstag 16.10. 16:45 - 18:15 Hörsaal 17 Oskar-Morgenstern-Platz 1 2.Stock
  • Dienstag 23.10. 16:45 - 18:15 Hörsaal 17 Oskar-Morgenstern-Platz 1 2.Stock
  • Dienstag 30.10. 16:45 - 18:15 Hörsaal 17 Oskar-Morgenstern-Platz 1 2.Stock
  • Dienstag 06.11. 16:45 - 18:15 Hörsaal 17 Oskar-Morgenstern-Platz 1 2.Stock
  • Dienstag 13.11. 16:45 - 18:15 Hörsaal 17 Oskar-Morgenstern-Platz 1 2.Stock
  • Dienstag 20.11. 16:45 - 18:15 Hörsaal 17 Oskar-Morgenstern-Platz 1 2.Stock
  • Dienstag 27.11. 16:45 - 18:15 Hörsaal 17 Oskar-Morgenstern-Platz 1 2.Stock
  • Dienstag 04.12. 16:45 - 18:15 Hörsaal 17 Oskar-Morgenstern-Platz 1 2.Stock
  • Dienstag 11.12. 16:45 - 18:15 Hörsaal 17 Oskar-Morgenstern-Platz 1 2.Stock
  • Dienstag 08.01. 16:45 - 18:15 Hörsaal 17 Oskar-Morgenstern-Platz 1 2.Stock
  • Dienstag 15.01. 16:45 - 18:15 Hörsaal 17 Oskar-Morgenstern-Platz 1 2.Stock
  • Dienstag 22.01. 16:45 - 18:15 Hörsaal 17 Oskar-Morgenstern-Platz 1 2.Stock
  • Dienstag 29.01. 16:45 - 18:15 Hörsaal 17 Oskar-Morgenstern-Platz 1 2.Stock

Information

Ziele, Inhalte und Methode der Lehrveranstaltung

Much empirical research in finance investigates the impact of some cause (e.g., an event affecting one or a group of firms, a change in
laws and regulations, a firm's corporate governance) on certain outcome (e.g., corporate earnings, stock liquidity, stock returns). The course provides and overview of common causal inference methods for observational data used in the finance literature. The methods will be illustrated based on examples from different research areas within finance.

The main goals are to enable students to critically evaluate existing literature dealing with causal questions, and to conduct their own empirical research. As such, students will be expected to write a report focusing on the methodology of an existing paper, give a presentation of the paper and their views on it, and to apply the methods learned in an empirical exercise (in Stata or R).

Topics of the Course:

1. Introduction to Causality
2. Regression and Matching Models
3. Instrumental Variables
4. Difference-in-Differences and Panel Data
5. Regression Discontinuity Designs
6. Self-selection Models
7. Event Study Methodology

Art der Leistungskontrolle und erlaubte Hilfsmittel

The grade will be based on a written final exam, a brief written report and presentation of an academic article, an empirical exercise and class participation. The exact details will be announced in the first class.

Mindestanforderungen und Beurteilungsmaßstab

Successful completion of Basics of Finance (or comparable courses) and Introductory Econometrics (Microeconometrics).

Prüfungsstoff

All material covered in class and in the required readings announced in class

Literatur

Angrist, J.D. and Pischke, J.-S. (2009): Mostly Harmless Econometrics: An Empiricst's Companion, Princeton University Press.
Corrado, C.J. (2011): Event studies: A methodology review. Accounting and Finance 51, 207-234.
Imbens, G.W. and Rubin, D.B. (2015): Causal Inference for Statistics, Social, and Biomedical Sciences: An Introduction. Cambridge University Press.
Kothari, S.P. and Warner, J.B. (2007): Econometrics of Event Studies. Handbook of Corporate Finance: Empirical Corporate Finance, Volume 1, 3-36.
Li, K. and Prabhala, N.R. (2007): Self-Selection Models in Corporate Finance. Handbook of Corporate Finance: Empirical Corporate Finance, Volume 1, 37-86.
Roberts, M.R. and Whited, T.M. (2013): Endogeneity in Empirical Corporate Finance. Handbook of the Economics of Finance 2, Part A, 493-572.

Zuordnung im Vorlesungsverzeichnis

Letzte Änderung: Mo 07.09.2020 15:28