PhD Courses in Denmark

Course coordinator: Peter Feldhütter, Department of Finance (FI)

Faculty
Peter Feldhütter, Professor of Finance, Copenhagen Business School

Prerequisites
Knowledge of asset pricing, corporate finance and econometrics at a M.Sc. level is expected. Otherwise, the course is designed as a first PhD course in empirical finance.

The course is open for other participants with an adequate background

Computer Tools 
In the analysis of data we will use the typical computer tools for doing such analysis. For any nontrivial empirical analysis we have to use other tools than Excel and similar spreadsheets. Any empirical researcher has to be familiar with a range of computer tools, and choose the right tool for a given estimation problem. 

We will use Matlab in this course. There are a number of alternatives to Matlab that are free, such as Julia, R and Python. Try to install one of these programs before the first lecture. 

Datasets 
In the course we will be looking at various examples. A number of datasets used in these examples will be put on the course homepage. These datasets will both be used in examples in class that you should try to replicate, and in the exercises you should turn in.

Aim
This course is a course on fixed income at the PhD level. The course attempts to lay the groundwork for students who will later do actual empirical research work in fixed income. It is therefore a hands on course where the students will have to perform analysis on actual data, and where the examples are chosen to illustrate the typical questions asked in finance research. The focus is on classic estimation methods, but the course will also, where relevant, outline recent developments.

Course content
The following provides an overview of the course. Some of the content may change depending on the interest of students, but the overview gives a good guidance of what to expect of the course.

• Violations of OLS Assumptions - HAC corrections: White (1980), Newey and West(1987)
• The expectation hypothesis: Campbell and Shiller (1991), Cochrane and Piazzesi (2005), Cieslak and Povala (2015), Bauer and Hamiltion (2018)
• Pricing the cross-section of corporate bonds: Gebhardt, Hvidkjaer, and Swaminathan (2005), Jostova, Nikolova, Philipov, and Stahel (2013), Bai, Bali, and Wen (2019), Chung, Wang, and Wu (2019)

•  Measuring liquidity: Roll (1984), Amihud(2002), Corwin and Schultz (2012), Feldhütter (2012), Schestag, Schuster, and Uhrig-Homburg (2016)
•  Liquidity and asset pricing: Bao, Pan, and Wang(2011), Dick-Nielsen, Feldhütter, and Lando (2012)
•  Liquidity and regulation: Bao, O’Hara, and Zhou (2017), Bessembinder, Jacobsen, Maxwell, and Venkataraman (2017)
•  Liquidity and trading venues: Hendershott and Madhavan (2015)
•  Liquidity and transparency: Goldstein, Hotchkiss, and Sirri (2007)

Teaching style
Lectures with exercises.

Lecture plan
The lecture plan of the course encompasses 2 days of approximately 5 teaching hours per day, scheduled for: 

Day 1 07-05-2025
Lecturer: Peter Feldhütter
Lectures (5 hours)

Day 2 21-05-2025
Lecturer: Peter Feldhütter
Lectures and student presentations (5 hours)

Learning objectives
• obtain an understanding of the various estimation methods discussed in the course such that they are able to understand studies using these methods
• demonstrate capability to apply these methods in their research projects, including the organisation of a data set from the various databases available such that it is suitable for empirical testing 
• Be able to write up and present results of empirical investigations in the form expected in research papers.

Exam
Course evaluation will be based on student 2 hand-ins to empirical problems (up to 10 pgs). In the problems you are typically given a dataset which you need to analyse, and write up your analysis. 

You need to do the exercises as you would write the results in an academic paper: Tables summarising results, detailed descriptions of what is estimated in the table, and a text discussion of what the results mean. In an appendix you should provide the exact estimation in the form of code and output. 

Submission dates:
21 May 2025 - hand-in 1
4 June 2025 - hand-in 2

Other
The course is offered through The Nordic Finance Network, and the Department of Finance at CBS will cover the course fee for PhD students from other NFN associated universities.

For further information and registration please follow the link to CBS.dk course page