Empirical Finance


Content, progress and pedagogy of the module

This module applies statistical and econometric methods to analyse time series of prices and returns in the financial markets. This includes, but is not limited to, the estimation of expected returns on stocks, tests of return predictability, the modelling of risk and volatility, and the determination of returns based on factor fundamentals.

The aim of the module is to provide the student with the tools necessary to conduct advanced empirical studies of financial market data and to contribute to a deep understanding of the determinants of financial asset prices and returns.

The module also relies on the application of time series models in statistical software for the analysis of financial data.

Learning objectives


The objective is that the student after the module possesses the necessary knowledge on:

  • solid understanding of statistical and econometric methods applied to financial prices and returns.
  • relevance, reliability and validity of time series methods in the financial data context.
  • how to apply several econometric models in statistical software and analyse their results, validity and relevance.


The objective is that the student after the module possesses the necessary skills in:

  • analysing financial time series data and finding important patterns, including the use of relevant software.
  • formulating time series models for the analysis of financial data, including testing financial theories.
  • analysing results regarding validity, relevance, and limitations of econometric models especially in connection to their application in statistical software.
  • discussing the possibilities and challenges within empirical finance scientifically, practically and contextually.


The objective is that the student after the module possesses the necessary competences in:

  • reflecting upon the theoretical frame of reference to independently perform and justify the choice of theories and methods to analyse financial prices and returns.
  • building models that can address issues related to the real world.
  • analysing prices and returns of financial assets using appropriate statistical and econometric techniques and software.

Type of instruction

For information see § 17.



Name of examEmpirical Finance
Type of exam
Written or oral exam
Individual examination.
Assessment7-point grading scale
Type of gradingInternal examination
Criteria of assessmentThe criteria of assessment are stated in the Examination Policies and Procedures

Facts about the module

Danish titleEmpirisk finansiering
Module codeKAFIN20227
Module typeCourse
Duration1 semester
Language of instructionEnglish
Location of the lectureCampus Aalborg
Responsible for the module


Education ownerMaster of Science (MSc) in Economics and Business Administration
Study BoardStudy Board of Economics and Business Administration
DepartmentAalborg University Business School
FacultyFaculty of Social Sciences and Humanities