EmpiricalAssetPricingClass1Yu-JaneLiu

Officehour:Friday,10-12am.Time:Wensday,12:30-15:30Place:Room116一、課程概述

Thiscourseprovidessomeadvancedtopicstotheempiricalfinanceandanalyticaltoolsforstudentstounderstandhowtodofinanceresearch.Thecoursecoversabroadrangeoftopicsincludingresearchinfinance,frommarketefficiencytobehavioralfinance,,marketmicrostructure,Chinaresearch,assetpricingandempiricalcorporatefinance.二、課程目標Thiscourseisdesignedtoprovideyouwiththeexposuretoempiricalfinanceinafewimportanttopics,especiallyrelatedtocross-sectionstudies.

Wewillstartwiththeadvancedtopics,soyouneedtohavesomebackgroundinfinance.

Youareexpectedtobecomfortablewithbasicstatistics,regressionanalysis,andstatisticaltools.三、內(nèi)容提要及學時分配

Class12/18ResearchinFinanceClass22/25MarketEfficiencyandBehavioralFinanceClass33/4paperpresentationClass43/11BFLiteratureandCognitiveBiasesClass53/18paperpresentationClass63/25MarketMicrostructureClass74/1paperpresentationClass84/8ChinaResearchClass94/15paperpresentationClass104/22FinalReportClass114/28FinalExamination

四、教學方式

Iwillgiveseverallecturesintheclassesmentionedabovetointroduceempiricalfinance.

Studentsareexpectedtopresentthepapersassignedintheclasses.Studentsneedtosubmitaproposalonempiricalfinance.Inclasses,wewillworkontherelevantliterature,anddiscusstheempiricalmethodsforthefinalreport.Therearesomearticlesthatstudentswillbeassignedtoreadandpresentedinclasses.Eachweek,Iwillannouncewhicharticlesmustbereadbythefollowingweek.七、參考書目

PapersarefromJournalofFinance,JournalofFinancialEconomics,ReviewofFinancialStudiesandsoon.九、課程學習要求及課堂紀律規(guī)范

Therearesomearticlesthatstudentswillbeassignedtoreadandpresentedinclasses.ThesummarieswillbegradedA,B,C,orDdependingonthecontributions/understandingofthesummaries.十、學生成績評定辦法

Gradingwillbebasedonclassparticipationandclassroompresentations(20%)OneProject(30%):Therewillbeatermproject.Youareexpectedtoworkindividually.EachprojectisexpectedtomakeseriousattemptstobepublishableinthefutureTheprojectshouldaimattopicsandtechniquesthatarerelatedtowhatwediscussinthiscourse.

Forthemostpart,theprojectisquiteflexible.FinalExamination(50%)I.Academicresearchsites

TheJournalofFinance(JF)

JournalofFinancialEconomics(JFE)

ReviewofFinancialStudies

FinancialAnalystsJournalJournalofFinancialMarkets

JournalofFinancialandQuantitativeAnalysis

JournalofFinancialIntermediation

JournalofInternationalMoneyandFinance

JournalofPoliticalEconomy

AnnualMeetingsandConferencesRememberthe"callforpapers"usuallyendswellinadvanceoftheconference(often6monthstoayearpriortotheconference.)US-basedInternationalConventionsTheFinancialManagementAssociation--theFMAmeetingsarealwaysahighlightontheyear'sFinancecalendar.ThemainUSmeetingisheldinOctober.

Highlymended!AmericanFinanceAssociation--Possiblythemostprestigiousofthefinanceconventions.

Thisisthegroupthat

putsouttheJournalofFinance.

TheannualmeetingsareheldinconjunctionwiththeAmericanSocialSciencesAssociationmeetingsinJanuary.

Thesemeetingsaremuchlargerastheyattractawiderangeofeconomistsaswell.Non-USInternational

FinanceConferences

ChinaInternationalFinanceconferenceTheEuropeanFinancialManagementAssociationholdsitsannualmeetingintheearlySummer.

TheEuropeanFinanceAssociationhasthelongestrunningfinanceconventioninEurope.Itisheldinlateaugust(usuallyjustbeforeUSclassesstartsoyoucangetthat"working-vacation"in!

TheAsian-PacificFinanceAssoicationholdsits

annualmeetinginJuly.

US-RegionalsTheSouthernFinanceAssociation's,Nov.TheWesternFinanceAssociation's

annualmeetingisusuallyinJune.

Itisquiteprestigiousandhasagreatreputation.

TheSouthwesternFinanceAssociation'sannualmeetingsareintheSpring.

Theyoftenserveasa"lastchance"forPh.D.interviewspriortotheopeningofthevisitingprofessormarket.

ThisistheannualmeetingoftheJournalofFinancialResearch.

TheMidwesternFinanceAssociation'sannualmeetingisalsousuallyheldintheSpring.

QuarterlyReviewofEconomicsandFinance.

TheEasternFinanceAssociation'sannualmeetingisheldinthelatespring.

ThisistheannualmeetingoftheFinancialReview.II.《學術作為一種志業(yè)》-韋伯一、以學術為志業(yè)是需要勇氣的

不管是當時的德國還是美國，年輕人的進入學術圈子后面臨的都是困難的晉級現(xiàn)實。課程的開設自己沒很大的自由，薪水也很微薄，要想自己晉升到正教授，還需要把握很好的機運。平庸同事升職更快的無奈現(xiàn)實。要想當一個優(yōu)秀的教師同時做一個杰出的學者也不是一件容易的事。想以學術為志業(yè)的青年，首先要有勇氣面對這種并不怎么樂觀的外部發(fā)展環(huán)境。

二、以學術為志業(yè)必須擠身專業(yè)的圈子中

“今天，相對于學術作為一種職業(yè)的經(jīng)營，以學問為生命志業(yè)首先受到的限制，就是學問已進入一個空前專業(yè)化的時代，并且這種情形將永遠持續(xù)下去。個人惟有通過嚴格的專業(yè)化，才能在學術研究的世界里，獲得那種確實感到達成某種橫完美成果的意識。”“惟有憑借嚴格的專業(yè)化，學術工作者才有機會在有朝一日充分體認到，他問成了一些可以傳世的成就，但是這種情形一生也許只有一次。今天，真正確定并且重要的成就，無不屬于專業(yè)性的成就。”

三、以學術為志業(yè)是需要熱情的

研究學術的人的樂趣，就是那種圈外人嗤之以鼻的奇特的“陶醉感”。想以學術為志業(yè)的青年，就要懷著“你來之前數(shù)千年悠悠歲月已逝，未來數(shù)千年在靜默中等待”的壯志。“凡是不能讓人懷著熱情去從事的事，就人作為人來說，都是不值得的事。”

四、以學術為志業(yè)是需要靈感的

在學術上，跟在藝術和其他領域中一樣，靈感都是不可缺少的。有了熱情，有了積極努力的工作，為靈感的到來打下了一個良好的基礎，但是并不代表靈感就一定能到來。并且即使有幸到來，它到底在什么時候降臨，也不是能事先預設的。靈感會不會到對學術工作者來講是有風險的，我覺得從以學術為志業(yè)的條件這個來講，靈感是必不可少的。學術的意義就在“創(chuàng)新”。如果終其一生，滿懷熱情，兢兢業(yè)業(yè)的工作，卻沒有靈感的到來，沒有創(chuàng)新的成果，那么，這個人在學術上是不會有建樹的。

五、以學術為志業(yè)的人格條件

“在學問的領域里，惟有那純粹向具體工作獻身的人，才有人格。不僅研究學問如此，就我們所知，偉大的藝術家，沒有一個不是把全部心力放在工作上；工作就是他的一切。“在學術圈內(nèi)，當一個人把他應該獻身的志業(yè)，當作是一項表演事業(yè)，并以其經(jīng)理人身份自居；當他出現(xiàn)在舞臺上，竭力一個人體驗來證明自己的價值。“惟有那發(fā)自內(nèi)心對學問的獻身，才能把學者提升到他所獻身的志業(yè)的高貴與尊嚴。”并且，“在這一點上，藝術家也是一樣的。”

想以學術為志業(yè)的青年，請先看看自己是否具備這五個條件吧。III.Whatisgoodwritingforfinancepeople?

EffectiveWriting1.Besurethatthecontentiscorrectandcomplete.2.Checkthatissuesarediscussedonalevelthereadercanunderstand.3.Writeasconcisely/preciselyaspossible.4.Revisethedocumentsothatitispolishedandprofessional.A.ThewritingprocessPlan:

Readtheliteraturecarefully.Analyzethepurposesofthepaper.Identifythefinancialissues.Analyzethereader’sinterests.Gatherandorganizematerial.DraftPuttheideasdownonpaper.Don’tstoptoedit.Writethepartsofthepaperinwhateverorderyouwish.ReviseThepapershouldbeclearandconcise.Proofreadforanyerrors.Summary:Howtowriteapaper?

FollowtheformatofthejournalAbadformat(maintextandtables)indicatesthatyouarenotwelltrainedandisalmostsuretogetarejectionifitisnotabrilliantidea.Neversubmitapaperwithouttechnicalediting.Badwritingsreducethechancetogetrevisedoraccepted.Neverreporttheresultsthatareinconsistentwiththerestofthepaper.Donotreportallthetestsyouhaveperformed.Thinkcarefullyaboutyourstoryfirstandthenfillthenecessaryresults(tables)alongwithyourstory.Nevercookoutthestoryfromyourtables=>storyfirstNeverdisputewiththeeditororrefereesDoalltheworksthattheeditororrefereesaskyoutodo,eventhoughyoudonotneedtoreportalltheresults.Howtodealwitheditorsandreferees

Iftheresultsarenotgoodorareinconsistentwiththeresultsinyourpreviousversion,findthereasonsortryothermethods.Donotreportthosebadresultsinthetext,butyouneedtoexplaintotheeditororrefereesorinafootnote.Eventhoughyoudonotfullyagreewiththerefereesoreditor,youneedtosayinaverypolitewayandciteenoughevidencetosupportyourargumentIfitiseasytofixtheproblems,re?submitthepaperassoonaspossibleInanyevent,neverdelayare?submissionforoveroneyear.V.PerceptionsofEthicalProblems

withScientificJournalPeerReview

Thisarticlereportstheresultsofananonymoussurveyofresearchersatagovernmentresearchinstitutionconcerningtheirperceptionsaboutethicalproblemswithjournalpeerreview.David

B.

Resnik,Christina

Gutierrez-Ford&Shyamal

Peddada,ScienceandEngineeringEthics,14(3),2008,pp.305-310petentreviewwasthemostcommonethicalproblemreportedbytherespondents

61.8%claimingtohaveexperiencedthisatsomepointduringpeerreview.Bias(50.5%)wasthenextmostcommonproblem.About22.7%ofrespondentssaidthatareviewerhadrequiredthemtoincludeunnecessaryreferencestohis/herpublication(s)17.7%saidthatcommentsfromreviewershadincludedpersonalattacks,and9.6%statedthatreviewershaddelayedpublicationtopublishapaperonthesametopic.Twoofthemostseriousviolationsofpeerreviewethics:

usingideas,data,ormethodswithoutpermission(5%)wereperceivedlessoftenthantheotherproblems.Someviewsonthescholarlyreviewprocessinfinance

bySubraOnceinawhile,paperscomealongthataretrulycreative,insightful,andbreaknewground.Ingeneral,suchpapershavenoproblemsgettingtheirdue.Mostofthetime,however,theideaswegeneratearenotoffthechartsintermsofcreativity.Thetreatmentofmanuscriptsbasedonsuchideasisamatterofgraveconcern.Everyrejectionpotentiallyaffectsapromisingcareerandcanderailit.Isuggestthoughtaboutthefollowingproblemsinourfield:1.Dowehaveadequatecontrolstoensureconsistency?Inotherwords,arethesamestandardsbeingappliedtoallindividuals?

Thereseemstobeaperceptionthatthemorefamousyouare,themorelikelyitisthatreviewersandeditorswillignoreflawsinthepaper.Thereasonissimple.Toppeopleinfluencepotentialhonorscovetedbyeditorsandreferees.Thecostsofalienatingthemarelarger.Perhapsthisisold-fashionedpolitics,butitseemstomethatthereshouldbenoplaceforsuchissuesinacademia.2.Areallrefereescalibratedproperlytostandards?Manyrefereesarewillingtobereasonableinjudgingpapers,butmanyothersareabittoocynicalandalmostalwaysmendrejection.Itisnotjustanissueofwhoisanexpertinthefield,butalsoamatterofcalibration—doestheexperthavestandardsthatareproperlycalibratedtothequalityofarticlesinthejournal?3.Arerefereechoicesbeingscreenedforpotentialconflictsofinterest?

Doestherefereehaveacompetingmethodology?Acompetingwork-in-progress?4.Istherefereesecureinhis/hersuccess?Insecurityisthekeydriverofcynicism.Anindividualsecureinhissuccesswillevaluateinareasonableway.Aninsecureindividualwillsimplylookforflaws.Oneshouldattempttosendmanuscriptstosecurepeoplewhohavebeensuccessfultoavoidanexcessivelycynicaljudgment.5.Whyarewepassingauthoritytoacceptorrejectapapertoanonymousreviewers?

Weshouldprobablymakeindependentcallsaseditorsandtreatreviewers’rolesassimplyadvisory.Also,weshouldreallylistentoauthorswhentheyrebutarejectionandtrytoensuretheresponsetotherebuttalisfocusedsolelyontheissuesraisedintheletter.Thisistheonlywaytobefairtoanauthor.6.Arestandardsarbitrary?Dowereallyknowwhatisagoodpaper?Whatishighqualityresearch?Isthereanywaytosetsomestandardsthatwouldapplyinmostsituations?7.Arewemakingsureprejudiceisnotmanifestingitselfinsubjectiverefereereports?8.Isuggestarevolutionarywaytoevaluatepapers—theonusshouldbeontherefereetoexplainwhythepapershouldnotbeexposedtotheprofessionandwhyitfallsshortinrelationtootherpaperspublishedinthejournal.Theburdenshouldnotbeontheauthor.Theresultwillbethatauthors(whoprovidethecreativeimpetus)willbehappierandthereforewillproducebetterresearch.Iwagerthata20%decreaseintherejectionrateinabsolutetermswillraisethequalityofpapersbecauseauthorswillbelesspronetodiversifyreviewingnoisebyspreadingthemselvesthin.VI.ExperienceonResearchinFinance

Iamnottherightpersontotalkaboutthistopic.However,Iwilltrymybest…AttitudeofDoingResearch

Whatisyourcareerobjective?WorkforindustriesorgovernmentsCommunicationskill(writingandoral)AnalyticalskillsWorkinacademicsResearch-orientedschoolsIdeasandintuitionWritingskillQuantitativeskillProgrammingskillTeaching-orientedschoolsTeachingskill(presentation,organization,preparation)BalancedschoolsI.

MypastexperienceA.MBAstude