BUSS 6292

This course builds on the knowledge and skills gained in Econometrics I and the previous finance courses to expose students with the various econometric skills used in asset-pricing and corporate finance. We will cover a very large spectrum of empirical methods, including how to compute various moments of returns, tests of random walk, event studies, asset-pricing tests, measurement of conditional volatility and conditional skewness, and the use of GMM (General Method of Moments) estimation. We will apply the econometric theories to real data by replicating the most important studies using SAS.