Empirical Asset Pricing
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Teacher(s)Aleksandar Andonov, Esther Eiling
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Research fieldFinance, Finance
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DatesPeriod 5 - May 06, 2024 to Jul 05, 2024
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Course typeField
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Program yearFirst
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Credits3
Course description
Empirical Asset Pricing studies the time-series and cross-sectional behavior of asset prices. This field is highly relevant for research in financial economics. Empirical asset pricing research is the basis for any study in investments and essential part of many financial management applications such as risk management, portfolio selection, and performance evaluation. This course focuses on the topics listed below and, during the lectures, we will discuss the main empirical findings as well as the methodological issues along with a few insights into the main theoretical models. The lectures will also include student presentations of selected academic articles. Students will also complete an individual referee report assignment and they will work on a term project in pairs. The objective of these term projects is to replicate empirical asset pricing papers and the students will present their key results during the last lecture.
Topics:
• Cross-section
of stock returns
• Time-series return predictability
• Investments and consumption-based asset pricing Mutual funds and asset
management
• Labor and asset pricing
• The cross-section and time series of currency returns
• Mutual funds and asset management industry
• Private equity and alternative assets
Prerequisites
Course literature
Relevant readings are listed on 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.
Background readings:
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