实证金融学与数据分析（Empirical finance and data analysis）

姓    名：才静涵    Jinghan Cai

国    籍：中国    China

职    称：助理教授    Assistant Professor

来自学校：斯科兰顿大学 The University of Scranton (PA, U.S.A., AACSB accredited)

Email地址： jinghan.cai@scranton.edu

联系电话：  570-941-4773

【先修课程 PREREQUISITES】

有一定金融学及计量经济学基础，

Basic Finance and econometrics courses

【授课方式 METHODS OF INSTRUCTION】

课堂讲授、课堂讨论以及课题演讲相结合（时间：7月3号-7月6号）

Lecture, class discussion, project and presentation.

【教师简介 ABOUT THE INSTRUCTOR】

才静涵，男，PhD. 现为斯科兰顿大学金融学助理教授。他于中国人民大学获金融学学士，于波士顿学院和香港城市大学分获经济与金融学博士。他的教学方向为投资学、公司金融、金融市场、统计学、计量经济学，并于波士顿学院获得Donald White教学优秀奖。其论文发表于Economics letters, Annals of Economics and Finance, Economics Bulletin, Finance Research Letters, Journal of Financial Risk Management, Annals of Financial Economics, Journal of Japanese and International Economies，《经济科学》《管理科学学报》《中国金融学》《金融学季刊》《证券市场导报》等中外杂志。

才静涵博士曾供职于深圳证券交易所综合研究所，在所期间出版专著一部，撰写多篇研究报告，并参与多项资本市场相关课题研究。主持中国博士后科学基金一项，参与自然科学基金课题两项。2011年获中国信息化学术成果优秀论文奖

         Jinghan Cai is assistant professor of finance at the University of Scranton. He holds a PhD in economics from Boston College, a PhD in finance from City University of Hong Kong and a bachelor’s degree in finance from Renmin University of China. Dr. Cai was previously employed by Shenzhen Stock Exchange and by Bank of China. His teaching interests include investment, corporate finance, financial markets, statistics and econometrics. He received Donald White Teaching Excellence Award at Boston College. He has published in Economics letters, Journal of Financial Risk Management, Annals of Financial Economics, Journal of Japanese and International Economies.

【课程简介 COURSE DESCRIPTION】

This course aims at providing the students with in-depth understanding of the empirical finance and data analysis. Through this course, students will have a big picture of the key elements of solid empirical research in finance, as well as some technical details. The topics include warrants market, short selling, initial public offering, investment behavior, behavioral finance, and market microstructure.

【课程大纲 SYLLABUS】

Discussion Topics: (subject to modification)

Topic 1: Empirical finance: An introduction

· Theoretical research vs empirical research

· Chinese financial market

· ABCs of Stata

Topic 2: Initial Public Offering

· The history of IPO in Chinese stock market

· Underpricing and underperformance of IPOs

· The interaction between primary and secondary market

Topic 3: Secondary Market

· Dynamics of limit order book

· Spread and depth

· Price discovery

· Lee and Ready algorithm

Topic 4: Buying on Margin and Short selling

· Analysis of margin

· Risks and market reaction of buying on margin and short selling

Topic 5: CAPM and EMH

· An introduction of CAPM

· Market efficiency

· Market anomalies

Topic 6: Option Markets and Chinese Warrant Markets

· An introduction of option market

· Chinese warrant markets

Topic 7: Behavioral finance

· Prospect theory

· Investor heteogeneity

· Investor Learning

Topic 8: Presentation