- Class Number 7739
- Term Code 2960
- Class Info
- Unit Value 6 units
- Mode of Delivery In Person
- Dr Jozef Drienko
- Dr Jozef Drienko
- Dr Yanrong Yang
- Class Dates
- Class Start Date 22/07/2019
- Class End Date 25/10/2019
- Census Date 31/08/2019
- Last Date to Enrol 29/07/2019
This course provides an opportunity for students to work on an applied project in finance. Students will work on one of a range of possible topics, each of which are motivated by recent innovations in financial markets.
Upon successful completion, students will have the knowledge and skills to:
Upon successful completion of the requirements for this course, students will be able to:
- LO1: Write an academically rigorous research report
- LO2: Communicate arguments, principles and findings using the language and conventions of the finance discipline
- LO3: Apply course work to produce a practitioner-oriented report.
Studies show that, when you explicitly link research and teaching, students become more aware of their learning, which can motivate them to learn more deeply. In this course, you will become aware of faculty research and its importance, develop your ability to ask questions and answer them in a rigorous way. You will also engage in your own research project. Students will be provided with some of the tools necessary to undertake research in both university- and industry-based settings.
Additional Course Costs
Examination Material or equipment
There is no examination in this course
Students will be given feedback in the following forms in this course:
- Written comments;
- Verbal comments;
- Feedback to the whole class.
ANU is committed to the demonstration of educational excellence and regularly seeks feedback from students. Students are encouraged to offer feedback directly to their Course Convener or through their College and Course representatives (if applicable). The feedback given in these surveys is anonymous and provides the Colleges, University Education Committee and Academic Board with opportunities to recognise excellent teaching, and opportunities for improvement. The Surveys and Evaluation website provides more information on student surveys at ANU and reports on the feedback provided on ANU courses.
Your final mark for the course will be based on the raw marks allocated for each of your assessment items. However, your final mark may not be the same number as produced by that formula, as marks may be scaled. Any scaling applied will preserve the rank order of raw marks (i.e. if your raw mark exceeds that of another student, then your scaled mark will exceed the scaled mark of that student), and may be either up or down.
Support for Students
The University offers a number of support services for students. Information on these is available online from http://students.anu.edu.au/studentlife/
Students should use the Harvard referencing system
|Week/Session||Summary of Activities||Assessment|
|1||Lecture 1: Introduction to the Course and Research - The Research Question, Pitching Research and Finding Research Topics|
|2||Lecture 2, Workshop 1: The Literature Review|
|3||Lecture 3, Workshop 2: Developing a Hypothesis|
|4||Lecture 4, Workshop 3: The Data Chapter|
|5||Lecture 5, Workshop 4: Research Methods I||Review of Academic Paper|
|6||Lecture 6, Workshop 5: Research Methods II|
|7||Lecture 7, Workshop 6: The Results Chapter, The Introduction, Conclusion, the List of References||Research Proposal|
|8||Lecture 8, Workshop 7: Quantitative Method (1): Panel Data Models with Fixed Effects, Interactive Effects|
|9||Lecture 9, Workshop 8: Quantitative Method (2): Binary Response Models|
|10||Lecture 10, Workshop 9: Quantitative Method (3): Difference in Difference and Control Function Approach for Endogeneity|
|11||Lecture 11, Workshop 10: Quantitative Method (4): Event Study||Quantitative Methodology|
|13||Exam Period||Final project report due during the final exam period|
The course does not have tutorials.
|Assessment task||Value||Due Date||Return of assessment||Learning Outcomes|
|Review of a Published Academic Paper (Individual)||10 %||23/08/2019||30/08/2019||1,2|
|Research Proposal – Literature, Data and Method Updates (Individual)||20 %||20/09/2019||27/09/2019||1,2|
|Research Methodology – Establishment and Practice of Quantitative Financial Methods (Individual)||20 %||18/10/2019||25/10/2019||3|
|Final Project Report – Replication and Extension of Examined Research (Group)||50 %||08/11/2019||28/11/2019||1,2,3|
* If the Due Date and Return of Assessment date are blank, see the Assessment Tab for specific Assessment Task details
ANU has educational policies, procedures and guidelines, which are designed to ensure that staff and students are aware of the University’s academic standards, and implement them. Students are expected to have read the Academic Misconduct Rule before the commencement of their course. Other key policies and guidelines include:
The ANU is using Turnitin to enhance student citation and referencing techniques, and to assess assignment submissions as a component of the University's approach to managing Academic Integrity. For additional information regarding Turnitin please visit the ANU Online website. Students may choose not to submit assessment items through Turnitin. In this instance you will be required to submit, alongside the assessment item itself, hard copies of all references included in the assessment item.
Moderation of Assessment
Marks that are allocated during Semester are to be considered provisional until formalised by the College examiners meeting at the end of each Semester. If appropriate, some moderation of marks might be applied prior to final results being released.
The course does not have formal examinations.
Assessment Task 1
Learning Outcomes: 1,2
Review of a Published Academic Paper (Individual)
This assessment is designed to ensure that students fully understand the examined academic article and the necessary requirements to complete a replication of the studied publication. Although groups collectively examine the published work, reviews of the paper must be written individually. Each student needs to use their own words to clearly outline the research question that is investigated in the paper and the importance of the contribution. Students will be graded on their ability to explain what the article studies, why it examines the considered topic and how it accomplishes this task.
Page limit (where applicable): 5 pages
Presentation requirements: None
Due date: Friday Week 5, August 23, 2pm
Estimated return date: Friday Week 6, August 30
Assessment Task 2
Learning Outcomes: 1,2
Research Proposal – Literature, Data and Method Updates (Individual)
The purpose of this assessment is to ensure that students (i) have a complete understanding of the examined research in the context of the existing literature; (ii) are aware of the data required to complete the replication and extension; (iii) are familiar with the estimation method(s) required in the course of the project; and, (iv) are able to identify relevant extensions that go beyond the initial replication attempt and address specific limitations of the original publication. The proposal should draw on research articles published after the publication of the examined paper and clearly outline a work plan for the rest of the semester (including proposed completion dates). Students should discuss the dataset(s) available for the proposed paper replication and extension. Students will be graded on their ability to synthesise themes in the literature and demonstrate a credible argument to justify their research plan. Although groups collectively examine the published work and discuss any possible extensions to the original paper, research proposals must be written individually.
Page limit (where applicable): 10 pages
Presentation requirements: None
Due date: Friday Week 7, September 20, 2pm
Estimated return date: Friday Week 8, September 27
Assessment Task 3
Learning Outcomes: 3
Research Methodology – Establishment and Practice of Quantitative Financial Methods (Individual)
This assessment is designed to ensure that students could establish appropriate models and develop corresponding estimation approaches for proposed research topics, as well as implement the approaches with statistical software. Students should design a reasonable statistical method for the proposed paper replication. It is also required to implement the statistical method in software (e.g. R) and provide assessment to justify your proposed quantitative statistical method. Students will be graded on their ability to propose a suitable statistical method, implement it correctly and deliver sufficient assessment or justification.
Page Limit (where applicable): 5 pages
Presentation requirements: None
Due date: Friday Week 11, October 18, 2pm
Estimated return date: Friday Week 12, October 25
Assessment Task 4
Learning Outcomes: 1,2,3
Final Project Report – Replication and Extension of Examined Research (Group)
The purpose of this assessment is to produce an original, relevant and rigorous piece of research. While the basis of the project is a replication attempt of an existing paper, a critique of the article’s limitations with tested extensions of the original publication is vital. Groups will submit their report with the following clearly-written chapters: introduction; literature review (this can be brief and included in the introduction chapter); methodology; sample selection and data sources; empirical results; and, conclusions. The writing style should be polished and fluid, and present a clear picture of the replication, extension as well as the findings/conclusions of both. Students will be graded on their ability to frame their paper with the relevant literature, identify valid limitations in the published article, design an appropriate method for the investigation, present their analysis and discuss the results, forming relevant conclusions.
Page limit (where applicable): 25 pages
Presentation requirements: None
Due date: Final Exam Period, November 8, 2pm
Estimated return date: End of Semester
Allowable team sizes will be between 3 and 4 students. It is important that teams are formed quickly so that the work can start. The team formation process will be as follows:
1. Students will be permitted to initially form their own teams. All students MUST advise the lecturer of their team status via email. Fully formed teams should send a list of student names and student (uni ID) numbers, with all members cc’d using university email accounts.
2. Remaining students will be placed in a team by the lecturer, through either joining partially formed teams or assigning individual students to teams on a random basis.
Academic integrity is a core part of our culture as a community of scholars. At its heart, academic integrity is about behaving ethically. This means that all members of the community commit to honest and responsible scholarly practice and to upholding these values with respect and fairness. The Australian National University commits to embedding the values of academic integrity in our teaching and learning. We ensure that all members of our community understand how to engage in academic work in ways that are consistent with, and actively support academic integrity. The ANU expects staff and students to uphold high standards of academic integrity and act ethically and honestly, to ensure the quality and value of the qualification that you will graduate with. The University has policies and procedures in place to promote academic integrity and manage academic misconduct. Visit the following Academic honesty & plagiarism website for more information about academic integrity and what the ANU considers academic misconduct. The ANU offers a number of services to assist students with their assignments, examinations, and other learning activities. The Academic Skills and Learning Centre offers a number of workshops and seminars that you may find useful for your studies.
Assignments are submitted using Turnitin in the course Wattle site. You will be required to electronically sign a declaration as part of the submission of your assignment. Please keep a copy of the assignment for your records.
For some forms of assessment (hand written assignments, art works, laboratory notes, etc.) hard copy submission is appropriate when approved by the Associate Dean (Education). Hard copy submissions must utilise the Assignment Cover Sheet. Please keep a copy of tasks completed for your records.
Extensions and late submission of assessment pieces are covered by the Student Assessment (Coursework) Policy and Procedure.
The Course Convener may grant extensions for assessment pieces that are not examinations or take-home examinations. If you need an extension, you must request it in writing on or before the due date. If you have documented and appropriate medical evidence that demonstrates you were not able to request an extension on or before the due date, you may be able to request it after the due date.
No submission of assessment tasks without an extension after the due date will be permitted. If an assessment task is not submitted by the due date, a mark of 0 will be awarded.
Accepted academic practice for referencing sources that you use in presentations can be found via the links on the Wattle site, under the file named “ANU and College Policies, Program Information, Student Support Services and Assessment”. Alternatively, you can seek help through the Students Learning Development website.
Feedback on assessments will be provided via Wattle.
Extensions and Penalties
Extensions and late submission of assessment pieces are covered by the Student Assessment (Coursework) Policy and Procedure. The Course Convener may grant extensions for assessment pieces that are not examinations or take-home examinations. If you need an extension, you must request an extension in writing on or before the due date. If you have documented and appropriate medical evidence that demonstrates you were not able to request an extension on or before the due date, you may be able to request it after the due date.
Resubmission of Assignments
Students may resubmit at any time before the due date.
Distribution of grades policy
Academic Quality Assurance Committee monitors the performance of students, including attrition, further study and employment rates and grade distribution, and College reports on quality assurance processes for assessment activities, including alignment with national and international disciplinary and interdisciplinary standards, as well as qualification type learning outcomes.
Since first semester 1994, ANU uses a grading scale for all courses. This grading scale is used by all academic areas of the University.
Support for students
The University offers students support through several different services. You may contact the services listed below directly or seek advice from your Course Convener, Student Administrators, or your College and Course representatives (if applicable).
- ANU Health, safety & wellbeing for medical services, counselling, mental health and spiritual support
- ANU Diversity and inclusion for students with a disability or ongoing or chronic illness
- ANU Dean of Students for confidential, impartial advice and help to resolve problems between students and the academic or administrative areas of the University
- ANU Academic Skills and Learning Centre supports you make your own decisions about how you learn and manage your workload.
- ANU Counselling Centre promotes, supports and enhances mental health and wellbeing within the University student community.
- ANUSA supports and represents undergraduate and ANU College students
- PARSA supports and represents postgraduate and research students
Research Interest of Dr. Jo Drienko: Analyst Forecasting, Asset Pricing, Market Efficiency
Research Interest of Dr. Yanrong Yang: High Dimensional Statistics, Panel Data Analysis, Large Dimensional Random Matrix Theory, Functional Data Analysis
Dr Jozef Drienko
Dr Jozef Drienko