FIN-607 / 3 credits

Teacher: Goyal Amit

Language: English


Frequency

Every year

Summary

This class is designed to give you an understanding of the basics of empirical asset pricing. This means that we will learn how to test asset pricing models and apply them mostly to stock markets. We will see which theories fare well and which ones do not.

Content

Keywords

Cross-section of returns, Stocks, Bonds, Options

Learning Prerequisites

Required courses

- You should have taken a PhD level class in asset pricing that covers the theory of asset pricing models.
- You should also have taken a course in econometrics at the master level. We will rarely do something fancier than OLS. Nevertheless, the basics of regressions (all the associated assumptions, problems, solutions, etc.) should be hopefully second nature to you.
- You should also have some familiarity with programming. We will be working with data and, therefore, you should have the capability of downloading (large amounts) of data and analyze those. You can choose any programming language (SAS, Stata, Python, R, Matlab, etc.). In my experience, working with a few languages makes life easier than sticking to just one.

Learning Outcomes

By the end of the course, the student must be able to:

  • understand how to test asset pricing theories

Assessment methods

There will be two projects counting for 40% each. The remaining 20% will be based on writing a referee report. Details on projects will be provided later.

Resources

Bibliography

The following books can serve as a background reference (although our class will rely mostly on papers):

 

1. John Y. Campbell, Andrew W. Lo, and Craig MacKinlay, 1997, The Econometrics of Financial Markets, Princeton University Press.
2. John Cochrane, 2005, Asset Pricing, Princeton University Press.
3. Turan G. Bali, Robert F. Engle, and Scott Murray, 2016, Empirical Asset Pricing: The Cross Section of Stock Returns, Wiley.
4. Wayne Ferson, 2019, Empirical Asset Pricing: Models and Methods, MIT Press.

Ressources en bibliothèque

In the programs

  • Exam form: Project report (session free)
  • Subject examined: Empirical Asset Pricing
  • Lecture: 28 Hour(s)

Reference week