Empirical Asset Pricing
Teacher(s)Aleksandar Andonov, Esther Eiling
DatesPeriod 5 - May 02, 2022 to Jul 15, 2022
Empirical Asset Pricing studies the time-series and the cross-sectional behavior of asset prices. The field is highly relevant for research in financial economics. It is the basis for any study in investments and also fundamental to many financial management applications such as risk management, portfolio selection and performance evaluation. We will focus on six topics, for which we will discuss the main empirical findings as well as the methodological issues along with a few insights into the main theoretical models. In each addition, each topic will include two student presentations of selected articles. Students will do on individual assignment and hey will work on a term project in pairs, which they will present during the seventh lecture.
• Cross-section of stock returns
• Cross-section of stock returns (presentations)
• Time-series return predictability
• Mutual funds and asset management
• The cross-section and time series of currency returns
• Private equity and alternative assets
• Investments and consumption-based asset pricing
Relevant readings are listed o n Canvas and include textbooks (for background readings) as well as academic papers (see weekly schedule). Slides and other course documents are also posted on Canvas.
Pennacchi, G. (2008). Theory of Asset Pricing, Addison-Wesley
Campbell, J.Y, A.W. Lo, and A.C. MacKinlay (1997). The Econometrics of Financial Markets, Princeton University Press
Cochrane, J. (2005). Asset Pricing (revised edition), Princeton University Press