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Faculty
Prof. Dr. Joachim Gassen (Humboldt-Universität zu Berlin)
http://www.wiwi.hu-berlin.de/professuren/bwl/rwuwp/staff/gassen
[email protected]
Prof. Dr. Alex Stomper (Humboldt-Universität zu Berlin)
http://amor.cms.hu-berlin.de/~stompera/index.html
[email protected]
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Title
Market Microstructure and Empirical Accounting Reading Group
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Outline
The course covers two closely related topics: One part focuses on the fundamentals
of market microstructure using the textbook “Market Liquidity” by Thierry Foucault,
Marco Pagano, and Ailsa Röell. The other part addresses recent developments in
the field of empirical accounting research by discussing relevant empirical and
theoretical work. In combination, both parts aim at equipping you with the
necessary background and skill-set to read, comprehend and evaluate empirical
work in the area of capital market research. It is tailored to second year PhD
students and requires a sound background in economics and microeconometrics. In
addition, students should have a general understanding of the institutions of capital
markets in general and financial accounting in particular.
Teaching is organized in topical sessions. For each session, the assigned papers are
allocated to the participating students and students are expected to lead the
discussion about their assigned papers. I expect students to coordinate the
allocation process among them.
Students interested in obtaining 6 ECTS credits from this course are requested to
hand in the following:
1. Two topic summaries (1,500 words not including references), handed in two
weeks after the according class. These summaries should not be confined to
the literature discussed in class and should include a discussion of potential
avenues of future research.
2. A proposal for a potential research project (1,500 words not including
references). This research project will be presented and discussed in the last
session of the class. Ideally, this could be a kick-start for a part of your PhD
work.
Grading will depend on the assignments (see above) and on class participation. All
four components are given equal weights for the final grade.
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Schedule (preliminary)
Market Microstructure (Part 1)
07.04.2015, Fr, 14-16, DOR 1, R. 204
Trading Structure, Market Structure and Measuring Liquidity
Chapter 0, 1 and 2 of Foucault, Thierry, Marco Pagano, and Ailsa Röell. Market
liquidity: theory, evidence, and policy. Oxford University Press, 2013.
13.05.2015, Wed, 14-16, DOR1, R. 204
Order Flow, Liquidity, and Securities Price Dynamics
Chapter 3 of Foucault, Thierry, Marco Pagano, and Ailsa Röell. Market liquidity:
theory, evidence, and policy. Oxford University Press, 2013.
29.05.2015, Fr, 14-16, DOR1, R.204
Trade Size and Market Depth
Chapter 4 of Foucault, Thierry, Marco Pagano, and Ailsa Röell. Market liquidity:
theory, evidence, and policy. Oxford University Press, 2013.
12.06.2015, Fr, 14-16, DOR1, R.204
Estimating Determinants of Liquidity and Limit Order Book Markets
Chapter 5 and 6 of Foucault, Thierry, Marco Pagano, and Ailsa Röell. Market
liquidity: theory, evidence, and policy. Oxford University Press, 2013.
26.06.2015, Fr, 14-16, DOR1, R.204
Market Fragmentation
Chapter 7 of Foucault, Thierry, Marco Pagano, and Ailsa Röell. Market liquidity:
theory, evidence, and policy. Oxford University Press, 2013.
10.07.2015, Fr, 14-16, DOR1, R.204
Market Transparency, Liquidity and Asset Prices
Chapter 8 and 9 of Foucault, Thierry, Marco Pagano, and Ailsa Röell. Market
liquidity: theory, evidence, and policy. Oxford University Press, 2013.
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Empirical Accounting Reading Group (Part 2)
05.06.2015, Fr, 12-14, DOR 1, R. 204
Standardization of Textual Accounting Information
Literature TBD
19.06.2015, Fr, 14-16, DOR 1, R. 204
Information Processing and Information Intermediaries
Literature TBD
09.07.2015, Thu, 15-17, DOR 1, R. 204
Financial Literacy
Literature TBD
17.07.2015, Fr, 14-16, DOR 1, R. 204
The Golf Course as an Economic Lab
Literature TBD
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