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Dates: June 6 -8, 2023 Programme Director’s: Prof. Aditya Banerjee , Prof. Bhaskar Chhimwal , Prof. Tarun K. Soni Mode: Offline
Programme Introduction
An FDP aimed at researchers in finance who want to learn the latest trends in empirical research in Finance and advanced econometric methods (regression, univariate and multivariate volatility models, and panel data).
Programme Objectives
This faculty development program (FDP) aims to provide researchers in Finance area the most updated knowledge of the theory and empirical methods. Each day of the intensive three-day program is divided in two sessions. The morning sessions are aimed at providing the theoretical background of the recent research trends in critical areas such as market microstructure, asset pricing, and corporate finance. The afternoon sessions are aimed at teaching econometric methods (e.g., regression, volatility models, panel data) with R and RStudio. Real life data is used in these sessions that are conducted in a workshop mode. The data files will be shared with the participants beforehand and relevant R codes will be shared during the sessions and as printed copies.
FDP Schedule
Day
Time
Topic
Method
Resource Person
Day 1
1stHalf (9:30 AM to 1:00 PM)
- Market Microstructure
Literature review, Methodological discussions
Prof. Bhaskar Chhimwal
Day 1
2nd Half (2:30 PM to 7:00 PM)
- Linear Regression Analysis (2 and n-variables) - Dummy variable regression - BLUE OLS estimator, and robustness checks - Stationarity and Unit Roots, - Autocorrelation and Partial Autocorrelations
Theoretical underpinnings, Hands-on data analysis on R in RStudio IDE.
Prof. Tarun K. Soni and Prof. Aditya Banerjee
Day 2
1st Half (10:00 AM to 1:00 PM)
Asset Pricing and Multifactor models: - - Theoretical underpinnings, Review of literature - Fama-French and Carhart Factors - Factor estimation and design
Literature review, Methodological discussions. Current research topics.
Prof. Bhaskar Chhimwal
Day 2
2nd Half (2:30 PM to 7:00 PM)
Univariate Time Series Analysis and volatility models with their applications: - Box-Jenkins Methodology for Autoregressive Integrated Moving Average (ARIMA) model estimation. - Univariate volatility models (GARCH, GJR-GARCH, EGARCH, CGARCH) - Multivariate volatility models: DCC-GARCH
Theoretical underpinnings, Hands-on data analysis on R in RStudio IDE.
Prof. Aditya Banerjee
Day 3
1st Half (10:00 AM to 1:00 PM
Research in Corporate Finance and Emerging Markets. - Capital structure - Working capital management - Research related to corporate governance - Other areas in corporate finance
Review of the literature. Current research topics in Derivatives. Methodology Roundup.
Prof. Tarun K. Soni
Day 3
2nd Half (2:30 PM to 7:00 PM)
Panel Data Methods - Pooled OLS method - Least Square Dummy Variable (LSDV) or Fixed Effects methods - Random effects and Hausman Specification tests - Arellano Bond GMM Method - System GMM Method
Theoretical underpinnings, Hands-on data analysis on R in RStudio IDE.
Prof. Aditya Banerjee
Programme Pedagogy:
Discussion of research papers, Econometric models taught with R and RStudio with relevant datasets.
Target Organizations:
Mostly educational institutions but can include organizations where financial research and analytics are regularly carried out.
Targets participants:
Faculties and research scholars are the primary target audiences. Though executives working in financial research and analytics may also participate.
Dates & Duration of the Programme
June 6 -8, 2023 (10:00 AM- 1:00PM &- 2:00 PM- 05:00 PM on each day)
Programme Fee
Particulars
Fee for Offline (Rs.)
Faculty Members
8850
Research Scholars/ Students
5310
Corporate Executives
14160
Please note the fee is inclusive of GST@18%
Programme Director’s:
Prof. Aditya Banerjee , Prof. Bhaskar Chhimwal , Prof. Tarun K. Soni
Prof. Aditya Banerjee Prof. Aditya Banerjee is currently an Assistant Professor in the Finance and Accounting Area at the FORE School of Management (FSM). Before joining FSM, He was an Assistant Professor in the Finance Area at the University of Petroleum and Energy Studies (School of Business). He has been a Lecturer in the Finance area at the Royal University of Bhutan (GCBS). He has several publications in peer-reviewed journals indexed in Scopus and listed in ABDC and ABS. His research focuses on understanding how information from different sources affects stock price movement differently.
Prof. Bhaskar Chhimwal He has been a post-doctoral fellow at SJMSOM, IIT Bombay in the area of Finance. His research and teaching interests include Investment analysis, Trading strategies and Asset pricing. Prior to joining SJMSOM as post-doctoral fellow, Bhaskar completed PhD in finance area from SJMSOM, IIT Bombay. He presented research papers in many prestigious international and national finance conferences. His work received “Best Paper Award” in prestigious 8th ICBAI conference held at IISc. Bangalore. He have published research work in peer reviewed finance journals of international repute. He also assisted in various courses on online platform like NPTEL and MOOC. He is also associated with various international journals as a reviewer and also associated with American Finance Association (AFA) as a member. He also actively follow the Indian stock market and deploy strategies on real time data to transform research knowledge into practice.
Prof. Tarun K. Soni Prof. Tarun K Soni is currently an Assistant Professor in the Finance and Accounting Area at the FORE School of Management (FSM). Prior to joining FSM, he has worked with prestigious institutions/think tanks like Ministry of Finance, Prime Minister’s Office and Niti Aayog on public policy issues. He has taught finance subjects/courses at Postgraduate level to the students of management at Lal Bahadur Shastri Institute of Management, Banasthali University, IBS Gurgaon and Jaipuria Institute of Management. He is a keen researcher and has published research papers in Scopus/ ABDC listed journals.
FORE School of Management has been designing, developing and conducting innovative Executive Education (EE)/ Management Development Programmes (MDPs) for working executives in India for over three decades.
