Master's thesis in financial econometrics

[Tal]

Hello,

I'm finishing my masters degree in econometrics and have to write thesis in financial econometrics. Can you suggest some topics? I have no idea where to start.
I have around 4 month to work on it.

 

[Ken Abbott]

That's a pretty broad question. What areas have you studied within econometrics?

 

[Tal]

That's a pretty broad question. What areas have you studied within econometrics?

financial, micro, some panel data, nonparametrics besides econometrics also had courses in stochastic calculus, insurance mathematics, machine learning etc.

 

[Tal]

Any directions? or some starting point

 

[FinEsse]

Any directions? or some starting point

You could write some empirical research on topics like:

The returns to Insider trading (abnormal returns)
Managerial Equity and firm performance
Capital structure and firm performance
The determinants of capital structure


All of these are extremely well suited for various types of econometrics models.
Tons of research papers on these are also available online

Source: took a graduate level class on financial econometrics while in Undergrad