Course Manual
FEB22017(X): Finance (Econometrics)
Erasmus School of Economics
2022-2023
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Course Overview
Finance (Econometrics) provides an introduction to the field of Finance. Finance’s ultimate
goal is to correctly value and price financial instruments, so that agents can take correct (and
profitable!) financial decisions. Broadly speaking, Finance can be divided into two subfields,
Corporate Finance and Asset Pricing. The former deals with how to value firms, and how
their capital structure and payout policy affects their valuation. The latter focuses on the
investor side, and tries to provide a framework to correctly price financial securities traded
in public markets, like bonds and stocks. Catering to the Econometrics BSc programme, we
focus on the latter but we also provide an introduction to Corporate Finance in the final
part of the course.
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2.1
Organization
Instructors
This course is coordinated by Dr. Fabrizio Core and Prof. Sebastian Gryglewicz. Dr. Core
will teach the first half of the course (lectures 1 through 4) and Prof. Gryglewicz will teach
the second half (lectures 5 through 7). If you have any comments, questions or suggestions
concerning the course, please address them to the relevant instructor by email. Questions of
general interest should be discussed on Canvas, see Section 3.5.
Dr. Fabrizio Core
core@ese.eur.nl
Prof. Sebastian Gryglewicz
gryglewicz@ese.eur.nl
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2.2
Literature
We use the textbook of Bodie, Kane and Marcus, Investments, 12th Edition. ISBN: 9781-260-57115-8. This is the MBA version, rather than the undergraduate version, of the
textbook. Consequently, it gets to the core of the matter a bit quicker. Older versions
should usually suffice, but chapters may have changed.
2.3
Schedule
The course contains seven key topics, one for each week. Each week follows the same
format. There is a lecture on Mondays 11:00-12:45 (except for week 1, when the lecture is
on Tuesday). Slides are made available prior to each lecture. The lecture is augmented with
a number of webcasts, posted on canvas, discussing key topics or interesting side-avenues.
Lectures, but not tutorials, will be live-streamed and recorded. Recordings will be made
available during the week the lecture took place, if and only if the attendance is at least 70%
of the number of registered students. The lecture in week 1 is online, the tutorial for that
week is not.
Each Friday there is a tutorial. These are used to discuss the weekly case (see Section
3.3), any remaining questions from the lecture, and to apply the course material in exercises.
Date
Room
Topic
Literature
Jan. 3
Online
Introduction and Time Value of Money
Ch. 1, 2
Jan. 9
Sanders 0-02
Fixed Income and the Yield Curve
Ch. 14, 15
Jan. 16
Sanders 0-02
Equity - Basics
Ch. 2, Ch. 18
Jan. 23
Sanders 0-02
Equity - Risk and Return
Ch. 6, 7
Jan. 30
Sanders 0-02
CAPM & Efficiency
Ch. 9, 10.5, 11
Feb. 6
Sanders 0-02
Derivatives
Ch. 20, 22
Feb. 13
Sanders 0-02
Corporate Finance
Ch. 18, 19
Feb. 24
Exam
Jul. 21
Re-sit Exam
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3.1
Course set-up
Grading
There is a final exam which counts towards 80% of your grade. The exercises discussed
during the tutorials will help prepare you for the kind of questions you may expect. The
remaining 20% of your grade is based on weekly case assignments. The first week has no
assignment, and the best five out of six assignments in the remaining weeks count for 4%
each. In order to pass the course a weighted average of 5.5 needs to be obtained. For the resit exam, the grade is determined by the highest of re-sit exam (100%) or re-sit exam/cases
(80%/20%). To emphasize the importance of the tutorials, you will receive 0.25/10 bonus
point on your exam if you attend, and participate in, at least six out of seven tutorials. This
bonus point carries over to your resit.
If you have completed the weekly cases in the previous year, you may choose to use last
year’s grade. You need to make the decision on whether to make the new assignment or use
previous year’s grade before the deadline of the first case. If you do choose to do the cases
again, the new grade will be leading, and your previous grade becomes invalid. You can send
an email to the course coordinator if you want to keep last year’s grade.
3.2
Exam
All literature stated in the schedule is exam-relevant, even if not explicitly discussed during
the lectures. This includes appendices unless otherwise stated. In addition, all the material
discussed during the lectures and webcasts are exam-relevant. The lectures may expand on
the book. The lecture slides, in combination with the lecture, provides sufficient information
in case they introduce new material.
3.3
Weekly Cases
Starting week two, a short assignment is posted on Canvas after every lecture. These will
typically involve calculations. Some of them require data-manipulation using your program
of choice. All assignments will be designed such that Excel will suffice, but the use of higher
level languages such as Matlab or Python may save some time and allow you additional
flexibility to better solve the case. Data will always be provided in .xlsx format.
The cases may be analyzed in teams of maximum three people. They are to be handed
in digitally on Canvas no later than 23:59 on Thursdays. If you decide to work in teams,
you may hand in a single copy, but make sure to add all student IDs to the frontpage.
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3.4
Tutorial Exercises
During the tutorials, you will be given a number of exercises to solve. The tutor may guide
and challenge you on the solution while you work on them in small teams in break-out rooms.
Some of the exercises may be discussed tutorial-wide. Solutions to the exercises are usually
made available on Friday evening.
3.5
Canvas Discussion Board
All questions related to course material should be posted on the Canvas discussion board.
These questions are valuable and beneficial to all students. Discussion among yourselves is
recommended, but reasonable, well-formulated questions, will typically be answered by the
instructor within three working days. Particularly relevant questions may be discussed in
lectures afterwards. Because this collaborative learning environment on the discussion board
is important, subject-matter related questions sent directly by email to the instructor will
not be answered. Administrative questions can be posed by email.
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Disclaimer
This course manual was put together with great care, and should be correct. However, it is
possible that throughout the course changes have to be made. Official changes in the course
conditions and requirements will be communicated through Canvas announcements.
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