Ph.D. Track
EMPIRICAL FINANCE
Track Coordinator: Dieter Hess
Participating Professors: Jörg Breitung, Dieter Hess, Alexander Kempf, Roman Liesenfeld, Alexander Pütz
The track “Empirical Finance” provides PhD students with the skills necessary to conduct cutting-
edge empirical research in capital markets. Participating students receive an in depth training in
econometric methods applicable to financial markets research questions. Special research courses
bring students to the forefront of empirical analyses of value creation in asset management and the
design of trading processes in capital markets. Core research topics are corporate earnings processes
and fundamental valuation, asset management, fund performance, measurement and management
of risks, optimal design of trading processes, behavior of market participants and financial
intermediaries.
Mandatory Electives
(at least 3 courses, reconcile selection with advisor)
Statistical Analysis for Financial Data (Liesenfeld, 6 ECTS, Summer)
This course is designed to introduce statistical and econometric tools used in empirical research of
financial data. In an accompanying tutorial students will apply these tools to real and simulated financial
data sets using the software package EVIEWS.
Empirical Methods to Analyse Time Series and Cross-Section Data (Breitung, 6 ECTS, Winter)
Financial research issues often require to analyze cross-sectional data over several points in time (panel
data), e.g., companies earnings evolution or returns of assets in a portfolio. This course introduces
participants to panel data analysis and factor models as powerful tools for analyzing datasets with cross -
section and time dimension.
Research in Finance I (Hess, 6 ECTS, Winter)
The course provides skills in conducting empirical research in finance by enabling participants to manage
and work with the most widely used databases (in part., CRSP, Compu stat, IBES). Participants discuss and
re-estimate papers in corporate earnings research, firm valuation and analyst behavior.
Research in Finance II (Pütz, 6 ECTS, Summer)
The course provides skills in conducting empirical research in asset management. It enables participants
to work with frequently used data (e.g. CRSP Mutual Fund and Stock Data, Thomson Reuters Mutual Fund
Holdings Data) and to find solutions to common problems in asset management research.
Research in Finance III (Kempf, 6 ECTS, occasionally)
The course provides skills in preparing a research paper in finance. It helps participants finding
appropriate research topics, enables them to set up a research proposal, and provides insights how to
write and publish the resulting paper.
Electives
(max 2 courses, reconcile selection with advisor)
