Recent Topics in Empirical Financial Research
Doctoral Course at the Swiss Finance Institute, University of Zurich
May 2018
Professor: John M. Griffin (www.jgriffin.info)

General Description of Course Content:
 
This course consists of a study of recent empirical finance research with an emphasis on understanding
some important events and debates of our time and how to create finance research that is useful for
society. The main topics examined will be the state of current empirical asset pricing, the growing use
of causal methods, research regarding the causes and consequences of the financial crisis, and the
growing field of forensic finance. As such, there will be considerable discussion of research trends and
in the formation of new research ideas in these areas.
Learning Goals:
The learning goals to further the researcher to be able to do meaningful independent work that will
impact our society. The hope is to create finance research with broader potential purpose and positive
benefit for the field. The intent is that the student will gain the experience and knowledge in forming
hypotheses and methods so that at the completion of the course everyone is better prepared to
conduct their own research. The idea assignments will help the students learn to critique and value
various ideas.
Prerequisites:
A reasonable understanding of PhD level econometrics. Students should be able to read and
understand academic papers. Students who have completed a PhD seminar course in empirical asset
pricing or empirical corporate finance will likely get more out of the class, but such background is not
required.
 
Assignments:
 
  • Idea Assignment: The purpose is to learn how to source ideas and think creatively. Include a Title with a short abstract, no more than 150 words of your idea. They will be discussed in front of the class so that the class can see how ideas can be evaluated and what must be done to evaluate if a research topic and then idea is viable.
  • Final Assignment: Your final assignment is to present an abstract, introduction with your placement in the literature, contribution, and outline of what data you will use and your empirical strategy. (7-12 pages double-spaced). This can be an extension of one of your idea assignments or something different and the topic can be on anything empirical in finance (broadly defined). The goal is to get you started
    researching a topic. 

Readings: 

Class 1: Introduction to Research Methods and Recent Trends in Empirical Finance
 
(r) Karolyi, Andrew. The Ultimate Irrelevance Proposition in Finance? Financial Review. (2011). 46(4): 485-512.
 
(r) Kent Daniel and Sheridan Titman. Testing Factor-model Explanations of Market Anomalies. Critical Finance Review. (2012). 1(1): 103-139.
(r) Harvey, C. R. (2017), Presidential Address: The Scientific Outlook in Financial Economics. The Journal of Finance, 72: 1399–1440. doi:10.1111/jofi.12530 Causal Methods being used in Investments, An example:
(r) Chang, Yen-Cheng, Harrison Hong, and Inessa Liskovich. “Regression discontinuity and the
price effects of stock market indexing.” Review of Financial Studies (2014)
Class 2: The Financial Crisis and Real Estate
(r) Andrew W. Lo. Reading About the Financial Crisis: A 21-Book Review. Working Paper. (2012).
(r) Mian, Atif, and Amir Sufi. “The consequences of mortgage credit expansion: Evidence from the
US mortgage default crisis.” The Quarterly Journal of Economics 124.4 (2009): 1449-1496.
(r) Griffin, John M., and Gonzalo Maturana. “Did Dubious Mortgage Origination Practices Distort
House Prices?.” Review of Financial Studies (2016): hhw013.
(r) Piskorski, Tomasz and Seru, Amit and Witkin, James, Asset Quality Misrepresentation by
Financial Intermediaries: Evidence from RMBS Market, Journal of Finance.
(s) Acharya, Viral V. and Richardson, Matthew P., Causes of the Financial Crisis (May 1, 2009).
Critical Review, Vol. 21, Nos. 2 & 3, pp. 195-210, 2009.
(s) Manuel Adelino, Antoinette Schoar, Felipe Severino; Loan Originations and Defaults in the
Mortgage Crisis: The Role of the Middle Class. Rev Financ Stud 2016; 29 (7): 1635-1670. doi:
10.1093/rfs/hhw018
(s) Mian, A., Sufi, A. and Trebbi, F. (2015), Foreclosures, House Prices, and the Real Economy. The
Journal of Finance, 70: 2587–2634. doi:10.1111/jofi.12310
(s) Atif Mian, Amir Sufi; Fraudulent Income Overstatement on Mortgage Applications During the
Credit Expansion of 2002 to 2005. Rev Financ Stud 2017; 30 (6): 1832-1864. doi:
10.1093/rfs/hhw104
Class 3: Forensic Finance
(r) Zingales, L. (2015), Presidential Address: Does Finance Benefit Society?. The Journal of Finance,
70: 1327–1363. doi:10.1111/jofi.12295
(r) John M. Griffin, Gonzalo Maturana; Who Facilitated Misreporting in Securitized Loans?. Rev
Financ Stud 2016; 29 (2): 384-419. doi: 10.1093/rfs/hhv130
(r) John M. Griffin, Amin Shams; Manipulation in the VIX?, The Review of Financial Studies, ,
hhx085, https://doi.org/10.1093/rfs/hhx085
(r) Egan, Mark and Matvos, Gregor and Seru, Amit, The Market for Financial Adviser Misconduct
(2017). Forthcoming JPE.
(s) Jay Ritter. Forensic Finance. Journal of Economic Perspectives. (2008). 2(3): 127-147.
(s) Stefan Zeume; Bribes and Firm Value. Rev Financ Stud 2017; 30 (5): 1457-1489. doi:
10.1093/rfs/hhw108
Topic 4 (time permitting): Mutual Funds and International Finance
(r) Kent Daniel, Mark Grinblatt, Sheridan Titman, and Russ Wermers. Measuring Mutual Fund
Performance with Characteristic-Based Benchmarks. Journal of Finance. (1997). 52: 1035-1058.
(r) Karolyi, Andrew and Ying Wu. The Role of Investability Restrictions on Size, Value, and
Momentum in International Stock Returns. Working Paper.
(s) Bartram, S. M., Griffin, J. M., Lim, T. H., & Ng, D. T. (2015). How important are foreign
ownership linkages for international stock returns?. Review of Financial Studies, 28(11), 3036-3072.
(s) Martijn Cremers and Antti Petajisto. How Active Is Your Fund Manager? A New Measure that
Predicts Performance. Review of Financial Studies. (2009). 22(9): 3329-3365. Focus on pages 3334-3340