Universität Wien

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

4.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften
Continuous assessment of course work
Moodle

Registration/Deregistration

Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).

Details

Language: English

Lecturers

Classes (iCal) - next class is marked with N

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

Information

Aims, contents and method of the course

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

Assessment and permitted materials

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.

Minimum requirements and assessment criteria

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

Examination topics

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

Reading list

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.

Association in the course directory

Last modified: Mo 07.09.2020 15:28