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Financial data analysis FN2208

This course is an introduction to econometrics focusing on techniques applied to empirical investigations in economics and finance.

In Financial data analysis students are introduced to recent empirical findings based on asset pricing and corporate finance models, in particular: predictability of asset returns; event study analysis; econometric tests of the CAPM and multifactor models.

Topics covered

Main topics of the module include:

  • Multivariate regression
  • Hypothesis testing
  • Omitted variables and misspecification
  • Time-series modelling

Learning outcomes

If you complete the course successfully, you should be able to:

  • Conduct ordinary least squares (OLS) regression with single and multiple regressors
  • Outline and critically assess the assumptions and limitation of OLS
  • Evaluate the regression results and conduct hypothesis testing
  • Identify and control for omitted variable biases and endogeneity
  • Apply regression techniques to time series data.


Unseen written exam (3 hrs).

Essential reading

  • Introduction to Econometrics by James Stock and Mark Watson, Pearson.

Course information sheets

Download the course information sheets from the LSE website.