FIN501A Asset Pricing I
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.
• 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.
After taking the course students are able to do the following.
• explain the basic theory of asset pricing
• discuss the outstanding open questions in the research literature
• explain and carry out formal proofs, to be able to contribute the theoretical literature
• read and discuss research papers in the area
• apply the topics taught to new problems
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 number of students.
Course participants are expected to have basic training in finance, including mean-variance analysis and the basics of option pricing.
The grade is based on a portfolio consisting of class participation (approximately 10%), individual assignments (approximately 35%), a final project (approximately 50%) and a reflection note (approximately 5%). One grade is given for the entire portfolio. Class participation is assessed during the first part of the course when the basic theoretical asset pricing literature will be presented. The assessment of class participation will reflect the quality of a student's comments and insights, as well as the intensity of participation. It tests whether students correctly understand the fundamentals of asset pricing theory.
Students will also submit individual assignments. The purpose of these assignments is to ensure that students are making progress on understanding the fundamentals of asset pricing theory.
The final project is the ultimate step in the whole learning process and consists of replicating a theoretical asset pricing paper and the presentation of the results. Students will present their replication results, and then they will receive feedback before submitting a final written paper. This allows testing whether the students fully and correctly understand the details of a particular research paper. This is an important step towards writing their own research papers and to learn how to successfully present the results.
Finally, the students have to write a reflection note where they are supposed to reflect on their learning and development during the course.
Grading scale: A - F.
"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
Autumn. Offered Autumn 2023.
Associate Professor Walter Pohl, Department of Finance, NHH