Rules of Engagement:
This list is designed as indicative of my interests. The actual topic should be reasonably close to the topics indicated below. Please note that
(a) my knowledge of Institutional arrangements in Nordic countries is minimal;
(b) proposed topics are rather technical (i.e., if you are not willing to spend time collecting/cleaning data, please go somewhere else);
(c) I am working in SAS, Matlab and C. If you are willing to use other statistical package, I cannot stop you. But then you should not expect that I will learn SPSS just for you...
If you feel that I might be a suitable tutor, please send me a memo (no more than 2 pages) describing your ideas. I would appreciate if your priorities and constraints (aka 'I just started as a trader in London and have to finish really fast...') will be clearly stated in your memo. I will reply to you within one week. If my initial reaction is positive, I will suggest short meeting to outline the project scope and timeline.
For a complete list of suggested topics, please see the 9509 - Methodological Finance page .
Currency risk premium in conditional asset pricing framework.
De-Santis,-Giorgio; Gerard,-Bruno How Big Is the Premium for
Currency Risk? Journal-of-Financial-Economics; 49(3), September 1998,
De-Santis,-Giorgio; Gerard,-Bruno; Hillion,-Pierre, Portfolio
Choice and Currency Risk Inside and Outside the EMU, Swedish-Economic-Policy-Review; 6(1), Spring 1999, pages 87-116.
Market for shorting stock.
I already have one group of students working on it, but there is much more to do there. This topic is especially suited if you are already in the financial industry or have access to proprietary data.
Volume and Turnover as measures of liquidity.
Andrew W. Lo and Jiang W. Wang, Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory. NBER Working paper No. W7625, March 2000. http://papers.nber.org/papers/W7625
Idiosyncratic Volatility:International Evidence
John Y. Campbell Martin Lettau Burton G. Malkiel Yexiao Xu, Have
Individual Stocks Become More Volatile? An Empirical Exploration of
Idiosyncratic Risk, Journal of Finance , February 2001 , Volume: 56,
I already have one group of students working on it, but there is much more to do there...
This is multi-project topic. Possible projects are: