Asset Pricing I (expired, replaced by FIN501A and FIN501B)

FIN501 Asset Pricing I (expired, replaced by FIN501A and FIN501B)

Autumn 2021

  • Topics

    Asset Pricing I covers the basic theoretical and empirical results in asset pricing.  The goal of the course is to efficiently bring students to the research frontier in asset pricing.  Everything will be taught with an eye to allowing students to read the latest papers in research journals.

    Topics include

    • Stylized facts about asset prices and major empirical puzzles

    • No-arbitrage models of asset pricing and the stochastic discount factor.

    • Economic models of asset prices in terms of fundamentals such as consumption.

    • Time series properties of asset returns.

    • Cross-sectional properties of asset returns.

    • Limits to arbitrage

  • Learning outcome

    After taking the course students should be able to do the following.


    • demonstrate knowledge of the basic theory of asset pricing

    • understand the outstanding open questions in the research literature


    • understand and carry out formal proofs, to be able to contribute the theoretical literature

    • apply empirical methods to data, to be able to contribute to the empirical literature

    General competence:

    • read and understand research papers in the area

    • apply the topics taught to new problems, whether theoretical or empirical

  • Teaching

    Regular lectures.

    If necessary, depending on the Corona situation the course will be digital.

  • Restricted access

    PhD candidates from NHH as well as PhD candidates from other institutions can take part in the course.

    Course participation of employees in working life or motivated master's students at NHH is subject to the approval from the course responsible on case by case basis.

    There is no cap on the amount of students.

  • Required prerequisites

    Course participants are expected to have basic training in investments and micro economics, at least corresponding to FIE400 and ECO401. The course moreover assumes familiarity with very basic linear algebra and optimization, and some more familiarity with basic probability theory. More advanced topics, like properties of conditional expectation, are briefly covered in the course.

  • Assessment

    Assignments constitute 35% of the total grade, while a final, open-book take-home project constitutes 55% of the total grade.  Class participation will account for the remaining 10% of the grade.

  • Grading Scale

    Grading scale: A - F.

  • Computer tools


  • Literature

    Recommended textbooks:

    "Financial Decisions and Markets" by John Campbell

    "Asset Pricing" by John Cochrane.

    Students will be expected to read additional research papers.


ECTS Credits
Teaching language

expired, replaced by FIN501A and FIN501B

Course responsible

Associate Professor Walter Pohl (main responsible), Department of Finance, NHH 

Professor Nils Friewald, Department of Finance, NHH