PhD
Finance
Simon Professor Ramona Agostina Teaching Simon Students

Effective solutions for complex business problems.

Simon’s methodological approach to finance emphasizes formal modeling of problems and empirical testing of theories. Explore topics related to areas such as corporate finance, financial institutions, and asset pricing using principles of economics, mathematics, and statistics.

Prepare with Math Camp.

 

Program Outline: Accounting

The First Year

The first year gives students solid training in microeconomics and econometrics and introduces them to basic issues in accounting and finance, including accounting and finance seminars which introduce students to current research topics. Students are required to take courses offered by Simon Business School as well as the University of Rochester's Economics Department. First year students are required to take the preliminary exam, which is given at the end of the spring term, and complete a first year research paper, due by September 15 of the student's second year. The paper will be presented in AEC510 or in an Accounting Workshop in the fall of the student's second year.

The Second Year

In the second year, students are expected to take PhD level courses in accounting and finance. In addition, participation in accounting, finance, and applied economics seminars is required. This training provides the foundation from which to develop research topics/ideas in general, and specifically a thesis topic. Students are required to submit a paper by September 15 of their third year. This paper will be presented in AEC510 or in an Accounting Workshop the fall of the student's third year and serves as the student's accounting qualifying exam.

The Third Year and Beyond

In the third year students move from coursework to active research with the objective of identifying a viable thesis topic. Continued participation in all accounting and applied economics seminars is required.

 

Advancement to Candidacy

This is achieved after passing the Preliminary and Qualifying Exams. At the conclusion of the qualifying exam, the faculty administering the qualifying exam evaluate the student and through that evaluation make a recommendation to the PhD Faculty Director and Senior Associate Dean of Faculty that the student advance to candidacy.
 

Thesis and Proposal

Students are expected to submit a Thesis proposal paper along with a faculty advisor and committee that has agreed to serve on the dissertation committee. The dissertation must be an original critical or synthetic treatment of a suitable subject, an original contribution to creative art, or a report on independent research formulated in a manner worthy of publication. The exact form and timing of this proposal is defined by the area requirements.

 

Required Courses.

The Course Catalog contains degree requirements and course descriptions. Please refer the Simon Registrar's website for the current Course Catalog.

 

PhD Finance Courses

FIN 505. Theory of Finance

The goal of this course is to present the theory of asset pricing and portfolio selection in multi-period settings under uncertainty. The asset pricing results are based on three increasingly restrictive assumptions: single-agent optimality, absence of arbitrage and equilibrium. These results are unified with two key concepts: pricing kernels and martingales. The course draws connections between these concepts and makes plain the similarities between discrete and continuous time models. Applications include term structure models, portfolio choices and the pricing of corporate securities.

FIN 511. Continuous Time Theory in Finance

The course builds on the basic theory presented in FIN 505 Theory of Finance. FIN 511 will emphasize some relatively advanced mathematical methods that are used in financial economics. The objective of the course is to provide students with enough knowledge of these methods that they can begin to use them in nontrivial ways in their research. Particular emphasis is given to topics that are costly or difficult to learn on an individual basis.

The methods surveyed in the course are primarily techniques for constructing and analyzing continuous-time models of trading and of stochastic asset price behavior. Virtually all of the derivative security pricing models and many of the multifactor models of asset prices and the term structure of interest rates are of this type.

FIN 512. Empirical Asset Pricing

This course covers classic contributions and recent developments in capital markets research, both applied theoretical and empirical, in relation to corporate policies, business cycle and economic growth. Specific topics include time-series predictability of stock market returns, empirical methods and evidence on the cross-section of returns, evidence on mutual fund performance and the closed-end fund puzzle, event studies and the empirical relations between stock returns and  corporate policies, consumption-based asset pricing, applied equilibrium modeling of asset pricing anomalies and behavioral finance.

FIN 513. Agency Theory

The course studies game theoretic foundations of the theory of the firm with a strong emphasis placed on corporate finance. The topics include capital structure, asymmetric information and signaling, contract design, and optimal security design. Additionally, we will explore information aggregation in financial markets, bargaining with asymmetric information, and dynamic signaling – important and fascinating topics in the broader area of information economics.

FIN 514. Empirical Corporate

This course covers cross-sectional and panel data empirical methods used in corporate finance research. The course will expose students to a variety of methods commonly employed in empirical research. While the course will cover the efficiency and consistency of various estimators, the primary focus will be on how econometric tools can be used to identify unbiased causal effects. Lectures and econometric readings will provide students with econometric intuition behind each method covered in the course. Course readings will expose students to examples of the methods being used in published and working papers. Assignments will familiarize students with standard datasets used in corporate finance and will enable students to apply the methods covered in the course and to analyze and criticize other researchers’ use of common empirical methods.

FIN 522. Advanced Empirical Asset Pricing

This course covers the methods and facts of asset pricing. Although theories are covered when necessary, the course is empirical in nature. The course starts with time-series and quickly moves to the cross-section, beginning with consumption- and production- based asset pricing, then moving to recent developments in intermediary and behavioral asset pricing. The course will also cover alternative asset classes such as currency and commodity. The course objective is to familiarize students with cutting edge empirical asset pricing research.

FIN 523. Advanced Agency Theory

The course studies dynamic aspects of the theory of the firm. It strongly emphasizes the role of time and repeated decisions in firm management. Topics include real options, dynamic lemons markets, dynamic contracts, and investment under constraints. The course is research intensive, requiring completion of several referee reports and a term project.

FIN 524.  Financial and Economic Networks

In recent years, networks have experienced tremendous growth in finance and economics. This course teaches tools and methodologies needed for performing cutting edge empirical and theoretical research that relies on modeling and analyzing networks of economic agents (individuals, banks, firms, countries). Topics include over-the-counter financial markets, production networks, payment networks, and more. The applications will cover all three areas of finance: asset pricing, corporate finance and financial intermediation. The course is research intensive, requiring completion of several referee reports and a term project.

AEC 510. PhD Workshop in Applied Economics

The workshop provides a forum for presenting ongoing and completed research projects by PhD students in the economics core. PhD students are expected to actively participate.