An advanced course on empirical research in finance covering econometric methods, data management, data collection, and programming. The course will establish a unified framework for analyzing three econometric methods (least squares regression, maximum likelihood, and generalized method of moments). The methods will be applied to topics in corporate finance (panel data and limited dependent variables models) and asset pricing. Principals of data management will cover appropriate use of database management systems, including SAS and SQL. The programming methods will emphasise structured, modular program design with applications to topics such as collecting data from the internet sources, natural language processing, Monte Carlo simulation, and numerical solution of partial differential equations. Specific topics will be selected to reflect student's interests.