Full Course Description BMAN30190 Empirical Finance v5 PDF

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Alliance Manchester Business School The University of Manchester Course module - Empirical Finance Full course description Code : BMAN30190 Level: 3 Credit rating: 40 Semester: both Date of latest update: 6 September 2019. Academic year: 19/20

Aims This course aims to train students to conduct research in finance and to prepare them so that they can complete an independent empirical research project by the end of this course. The empirical project centers on the topic of Mergers and Acquisitions and students will analyse the price reaction to the announcement of a merger between two firms, where each student gets to analyse their own merger case. The course builds on students’ existing knowledge of finance and gives students hands-on experience in financial research. This course develops students’ skills in computer literacy, numeracy, literature review, research design, research methodology and its implementation, problem-solving, and written and oral communication. This course requires students to work independently on their own individual research project and tests their ability to set their own goals and timetable to ultimately complete a 30-page research project. This course covers two semesters. In the first semester, students will attend lectures, workshops labs and clinical session to build and consolidate their knowledge and skill base in academic research. These lectures, workshops, and labs cover research methodology (which focuses on the event study methodology which is widely used in the analysis of Mergers & Acquisitions) and other matters related to academic research. In the second semester, students will deliver a 5minute presentation of how they plan to analyse their merger case, and independently work on empirical analysis, using real data, to produce a final project report at the end of semester 2.

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Objectives (Learning Outcomes) By the end of this course, students • should understand the methodology (focus on the event study methodology) and research issues covered in the first semester and be able to apply them in their research projects in the 2nd semester. • should use event study methodology to analyse the wealth effect of corporate events as part of their research. • should be familiar with various finance databases and be able to collect, compile, and analyse data. • should have developed skills to understand, interpret, and draw conclusions from the results of their empirical analysis. • should have developed and applied their presentational skills • will have accumulated the experience in writing a research report: including introduction, literature review, data and methodology, empirical results, relevant discussions, and conclusion. • should have developed a strong capability of independent learning and investigation. • should have developed an understanding of the relevant literature in finance.

Employability Students develop a variety of skills related to conducting academic research in finance and disseminating the outcomes, which is transferable to many fields outside of academia. The set of skills include independent learning, research design and planning, understanding and using financial databases, managing and analysing data, critical thinking, logical argument, collecting, compiling, integrate and summarising related materials, presentation skills, writing skills, time management, working under pressure and so on.

Assessment BMAN30190 is assessed by both coursework and exam. The coursework has two components: 1) a presentation of research design and plan (15%), and 2) a research project (58%). Instruction and advice on the assignments, including page lengths and formatting, will be provided on Blackboard in the first semester. There is a mid-course exam (25%) at the end of the first semester. Participation in the first semester counts for 2% (more details below). The presentation will occur in the first half of the second semester. The deadline for submitting the final research report will be announced in the early second semester. The research topics will be randomly allocated to students from a list of corporate events, mainly mergers and acquisitions. Students are required to read around their allocated events and understand the relevant background. Students are also expected to be familiar with required for their research. We will ensure essential data is available for all the events. Note that what matters in the research is not which companies are involved in the allocated corporate events. Essential is what a student does in the process of research, e.g., introduction, 2

literature review, description of the methodology, empirical analysis and discussions around your empirical results (e.g., abnormal returns around the event). Students should demonstrate their understanding through the presentation and discussions of their results. Students are required to take the sole responsibility of their independent projects, by drawing on the course contents and, importantly, on the relevant academic literature which they will gather independently in the process of research. The teaching team will play a purely advisory role. The team is not supposed to give prescriptive suggestions or make decisions for the students in the process of their research so as not to defeat the purpose of the course. For the final report, submit a hard copy of the report, and submit a soft copy of your report (on blackboard) as well as the work files, e.g., Excel files (also on blackboard). In the first semester, participation is assessed by meeting the deadlines listed under Appendix I. Failing to meet any of the deadlines leads to the loss of 2% of the overall assessment. Excuses such as technical difficulties or network problems are not acceptable (therefore make allowance for such possible issues by acting well before the deadline). Extenuating circumstances (e.g., illness) have to be supported by paper evidence.

Methods of Feedback to Students • Responses to student questions posted via an online discussion forum, from members of staff. • Meetings during office hours. • Informal advice and discussion during and around lectures, workshops, and Labs. • Written or verbal comments on assessed or non-assessed coursework. • Written or verbal comments on the group or individual presentation. Attendance at all classes is compulsory and will be monitored

Information Length of course: 23 weeks Programme Restrictions: This course is compulsory for students specialising in Finance either singly or jointly. BMAN30190 Empirical Finance is a basic unit for Finance, for which BMAN23000(A) or (B) Foundations of Finance, BMAN20072 Investment Analysis and BMAN20081 Financial Statement Analysis are area pre-requisites. Also open to BSc Management students specialising in Accounting & Finance. Pre-requisite course units have to be passed by 40% or above at the first attempt unless a higher percentage is indicated below. Pre-requisites: BMAN23000(A) or (B) Foundations of Finance, BMAN20072 Investment Analysis and BMAN20081 Financial Statement Analysis 3

Important: Although there is no pre-requisite for statistics or econometrics, it is essential that students possess working knowledge on the random variable, distribution, regression and hypothesis testing. These will be discussed in the lectures and students are expected to carefully study the assigned reading materials on statistics/econometrics. Co-requisites: None Dependent course units: None BMAN30190 is available to visiting and exchange students admitted through the Study Abroad Unit at the University of Manchester who will be studying for a full academic year.

Course Content The first semester lectures cover the following topics, which will be delivered in lectures, workshops, labs, and clinical sessions, and examined in a mid-course exam: ―Course introduction; project outline. ― An overview of researches in Finance; Introduction to Event Study Methodology; a journal article for an example of clinical event study. ―Regression. ―Event Study Methodology: short-term event study. —Datastream. ―Research design and planning; research proposal. ―Event Study Methodology: long-term event study; How to read journal articles effectively? ―Event Study Methodology: Measuring Abnormal Returns and test statistical significance. ―Review of Event Study Methodology. —Other issues that may emerge. ―More advanced topics on event study. In the second semester, students will present their research plans to lecturers and conduct their independent research projects. Clinic sessions will be available where students consult lecturers on issues that arise from their research.

Course Materials Available on Blackboard.

Lecturer(s) First semester only, Dr. Ning Gao: [email protected], Office hours on SOHOL. Dr. Ning Gao will NOT be available in semester 2. 4

Second semester only, Dr. Alex Taylor – semester 2 only: [email protected], office hour on SOHOL. Dr. Alex Taylor will NOT be available in semester 1. Other Teaching Staff: Dr. Olga Kolokolova, Dr. Aleksey Kolokolov: responsible for certain workshops and presentation sessions. Miss Yi Zhang: responsible for certain workshops. Important: Students should be the sole author of their assessed reports. The teaching team who will also form part of the assessment team should not give prescriptive suggestions or make decisions for the students in the process of their research. Students are required to take the sold responsibility of their independent researches by drawing on the course contents and, importantly, on the relevant academic literature which they will gather independently in the process of research. The teaching team should play a purely advisory role. In many ways, therefore, the project is just like any other examination that students undertake. It is the students, and no one else, that sit in a conventional written examination. Similarly, it is a student alone who must write the examined report to demonstrate his or her understanding of the related issues as well as the capability of completing the report with expected quality. Neither the teaching team nor anyone else, aside from the author, should check or read individual reports before submission. In other words, it is a student’s sole responsibility to demonstrate that she or he can write a report with the expected standard. This is a responsibility that he or she cannot and should not share with any other person — be it another student, lecturer or anyone else. Therefore, the first step to finding answer to a question in the research process is to read around and think about possible answers, instead of posting a question to anyone else. Also, note that plagiarism of other people work is treated extremely seriously within the university, please make sure you read and follow the University guidelines on plagiarism when writing up your project.

Timetable https://ughandbook.portals.mbs.ac.uk/Myprogramme/Teachingtimetables.aspx

Teaching Methods This is a project-based course and it is organised differently from purely lecture-based courses. In the first semester, students participate in lectures and workshops on research methodology and other related matters. The aim is to prepare students for conducting their forthcoming independent researches in the second semester. In the second semester, students conduct an independent study on a specific corporate event and write an independent research report. The lectures, workshops, and labs in the 1st semester are organized according to topics. The emphasis is on the event study methodology which is widely used in finance researches to analyse the wealth effects of mergers and acquisitions, IPO’s, management turnovers and other corporate events. There are no lectures in the second semester. There will be sessions at the beginning of 5

the second semester where students present their research plan. After this, students undertake their independent research project. There are three clinical sessions where students ask questions and receive advice on their researches. Semester 1: Lecture Hours: 20 Workshop/lab/clinic hours: 8.5. Semester 2 (Presentations and workshops, no lectures) Each of you will individually present a 5-minute presentation (Presentations run over the period of weeks 3,4 and 5) 3 x 1hr workshops led by Dr. Alex Taylor (these workshops are spread over the latter part of Semester 2 when you will be undertaking the bulk of your empirical research and writing up the results) Private Study Hours: 367.5 hours (approximately). It may vary according to the progress of different students. Total Study Hours: 400 (approximately) hours. Total study hours: 400 hours split between lectures, workshops, labs, clinical sessions, reading, self-study, preparation for classes and coursework.

Preliminary reading There is no designated textbook for this course. Reading relevant papers, including published journal articles and working papers, are essential. The lecturers will recommend some papers for students to begin with, but students are expected to build their collection of relevant literature independently. Attending lectures and workshops are essential to understanding the methodology required in your independent project.

Where to find journal articles? You’ll read and refer to academic papers extensively to understand the relevant literature and how to write a paper. Each student is expected to build her pool of literature related to her topic. Most journal articles are downloadable from the following two sources. For published papers: University home page → John Rylands Library (at the bottom of page) → search resources → eJournals A–Z. For working papers: www.ssrn.com.

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To search for the abstracts of papers, use Econlit (can be found from library website) and google scholar.

Virtual Learning Environment Course website: Blackboard →BMAN30190 Technical support: Elearning, details also on Blackboard. [email protected]; 0161 306 5544 (or extension 65544).

What are available on the website? a) Announcements. It’s important to visit the website regularly so that you do not miss any important announcements. b) Soft copies of course materials. This course uses the website as the sole method to distribute course materials. c) Datasets that are used in lectures and workshops. d) Two forums. The Forums will operate throughout the two semesters but not during the holidays. One forum is for discussion among students; the other for asking questions to staff. Important: Please note that the forum is not supposed to be a substitute for students independent thinking on the problems at hand and it is not a resource that can be used to pick others’ minds by getting them to think for you. Try to investigate independently before posting a question. Also think of how you could contribute to the forum. Our staff members check the web forum regularly. Staff members are not supposed to give prescription answers or takeover the thinking that students should perform on their own. Questions posted on the forum may not be immediately answered. If a member of staff believes a student should investigate further independently, she will ask you to investigate the issue further. Moreover, there might not be a straightforward answer to a question given the often-time openended nature of questions related to research. Students should be aware of this and refrain from urging for a prescription answer. e) Other course-related materials

Marking Criteria It will be explained in course materials.

Appendix I: Important Dates i) Deadline, 4 October 2019: for “Datastream” workshop registration on Blackboard > Register for Datastream training: on Blackboard. 7

ii) Deadline, 22 November 2019: if needed, register and change your allocated topic. > Although not expected, if you need, register and change of topic by this deadline. To do this, book a time on sohol with your lecturer. iii) Semester 2, deadline for submitting your final research report will be announced in Semester 2.

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