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LUBS2224
LUBS2224 Reading List

Credit and Financial Analytics, 2021/22, Semester 1
Vladimir Pazitka
V.Pazitka@leeds.ac.uk
Tutor information is taken from the Module Catalogue

It is essential that you complete the assigned reading for each week before watching lectures or attending workshops. This will help you to gain some basic understanding of the material that will be covered in each lecture / workshop and familiarise yourself with the technical vocabulary that I will use. I cannot emphasize enough how important this is in order to get the most of your lectures and workshops.

Textbooks

I would recommend that you purchase a copy of 'Introductory Econometrics for Finance (4th ed.)' by Chris Brooks. We will use this textbook as well as its online learning resources extensively in this module. I have obtained a pemission from the CFA Institute to share selected section from their teaching materials with my students, so you do not need to buy the CFA Program Curriculum textbooks. The 'Introductory Econometrics: A Modern Approach' by Jeffrey Wooldridge is an optional additional textbook for this module.

Introductory Econometrics for Finance (4th edition),Chris Brooks , ISBN 9781108524872  

CFA Program Curriculum 2022 Level I (Volume I)  

CFA Institute  

ISBN 9781950157426  

CFA Program Curriculum 2022 Level II (Volume I)  

CFA Institute  

ISBN 9781950157488  

Introductory Econometrics: A Modern ApproachJeffrey M. Wooldridge, ISBN 9781337558860

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Reading timetable

Week 1 – Introduction to econometrics and dealing with data

Core reading

Introductory Econometrics for Finance (Chris Brooks)  

Chapter 1 – Introduction and Mathematical Foundations  

Chapter 2 – Statistical Foundations and Dealing with Data  

Optional reading

Introductory Econometrics: A Modern Approach (Jeffrey M. Wooldridge)

Appendices – Math Refresher A – Basic Mathematical Tools

Week 2 – Probability Distributions

Core reading

CFA Program Curriculum 2022 Level I Volume 1  

Reading 3 – Probability Concepts  

Reading 4 – Common Probability Distributions  

STATA guide  

Section 1 – Getting Started  

Section 2 – Data Management  

Optional reading

Introductory Econometrics: A Modern Approach (Jeffrey M. Wooldridge)

Appendices – Math Refresher B – Fundamentals of Probability

Appendices – Math Refresher C – Fundamentals of Mathematical Statistics

Week 3 – Sampling and Hypothesis Testing

Core reading

CFA Program Curriculum 2022 Level I Volume 1  

Reading 5 – Sampling and Estimation  

Week 4 – Simple Linear Regression

Core reading

Introductory Econometrics for Finance (Chris Brooks)  

Chapter 3 – A Brief Overview of the Classical Linear Regression Model  

CFA Program Curriculum 2022 Level II Volume 1  

Reading 1 – Introduction to Linear Regression  

STATA guide  

Section 3 – Linear Regression – Estimation of an Optimal Hedge Ratio  

Section 4 – Example 1: Hedging Revisited  

Section 5 – Example 2: The CAPM  

Jensen MC (1968) The performance of mutual funds in the period 1945-1964. The Journal of Finance 23(2): 389-416.  

Optional reading

Introductory Econometrics: A Modern Approach (Jeffrey M. Wooldridge)

Chapter 2 – The Simple Regression Model

Week 5 – Multiple Linear Regression

Core reading:

Introductory Econometrics for Finance (Chris Brooks)  

Chapter 4 – Further Development and Analysis of the Classical Linear Regression Model  

CFA Program Curriculum 2022 Level II Volume 1  

Reading 2 (only pages 69-91) – Multiple Regression  

DeBondt WFM and Thaler RH (1985) Does the stock market overreact? Journal of Finance 40: 793-805.  

Clare AD and Thomas SH (1995) The overreaction hypothesis and the UK stock market. Journal of Business Finance and Accounting 22(7): 961-973.  

Optional reading:

Introductory Econometrics: A Modern Approach (Jeffrey M. Wooldridge)

Chapter 3 (Sections 3.1 – 3.2)

Chapter 4

Chapter 7

Week 6 – Model Validity and Diagnostics

Core reading:

Introductory Econometrics for Finance (Chris Brooks)  

Chapter 5 – Classical Linear Regression Model Assumptions and Diagnostic Tests  

CFA Program Curriculum 2022 Level II Volume 1  

Reading 2 (only pages 92-118) – Multiple Regression  

STATA guide  

Section 7 – Multiple Regression Using an APT-Style Model  

Section 10 – Diagnostic Testing  

Fama EF and French KR (1992) The cross-section of expected stock returns. Journal of Finance 47: 427-465.  

Optional reading:

Introductory Econometrics: A Modern Approach (Jeffrey M. Wooldridge)

Chapter 3 – Sections 3.3 – 3.7.

Week 7 – Time Series Analysis

Core reading:

Introductory Econometrics for Finance (Chris Brooks)  

Chapter 6 – Univariate Time-Series Modelling and Forecasting (pages 246-272)  

CFA Program Curriculum 2022 Level II Volume 1  

Reading 3 (only pages 167-186) – Time-Series Analysis  

Brooks C and Persand G (2001) Seasonality in Southeast Asian Stock Markets: Some New Evidence on Day-of-the-week Effects. Applied Economics Letters 8(3): 155-58.  

Optional reading:

Introductory Econometrics: A Modern Approach (Jeffrey M. Wooldridge)

Chapter 10 & Chapter 11

Week 8 – Time Series Forecasting

Core reading:

Introductory Econometrics for Finance (Chris Brooks)  

Chapter 6 – Univariate Time-Series Modelling and Forecasting (pages 272-288)  

CFA Program Curriculum 2022 Level II Volume 1  

Reading 3 (only pages 186-194) – Time-Series Analysis    

Chu KY (1978) Short-run forecasting of commodity prices: An application of autoregressive moving average models. IMF Staff Papers 25: 90-111.  

STATA guide  

Section 11 – Constructing ARMA Models  

Optional reading:

Introductory Econometrics: A Modern Approach (Jeffrey M. Wooldridge)

Chapter 12

Week 9 – Applied Econometric Analysis

Core reading:

Introductory Econometrics for Finance (Chris Brooks)  

Chapter 15 – Conducting Empirical Research or Doing a Project or Dissertation in Finance  

Optional reading:

Introductory Econometrics: A Modern Approach (Jeffrey M. Wooldridge)

Chapter 19 - Carrying Out an Empirical Project

Week 10 – Review of Key Concepts

Core reading:

STATA guide – Section 12 – Forecasting using ARMA models  

Revise material from weeks 1-9 and prepare questions for an exam Q&A.

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Econometric software guide

STATA guide to accompany ‘Introductory Econometrics for Finance (4th edition)’

https://www.cambridge.org/files/2215/5258/6000/stata_guide.pdf

Data files

https://www.cambridge.org/gb/academic/textbooks/introductory-econometrics/stata

Statistical software (STATA) is available for use in the computer labs or can be downloaded through the Software Centre app.

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Journal articles

Brooks C and Persand G (2001) Seasonality in Southeast Asian Stock Markets: Some New Evidence on Day-of-the-week Effects. Applied Economics Letters 8(3): 155-58.  

Chu KY (1978) Short-run forecasting of commodity prices: An application of autoregressive moving average models. IMF Staff Papers 25: 90-111.  

Clare AD and Thomas SH (1995) The overreaction hypothesis and the UK stock market. Journal of Business Finance and Accounting 22(7): 961-973.  

DeBondt WFM and Thaler RH (1985) Does the stock market overreact? Journal of Finance 40: 793-805.  

Fama EF and French KR (1992) The cross-section of expected stock returns. Journal of Finance 47: 427-465.  

Jensen MC (1968) The performance of mutual funds in the period 1945-1964. The Journal of Finance 23(2): 389-416.  

Other readings will be provided as handouts and/or posted on the VLE as the course progresses.

This list was last updated on 06/10/2021