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 should be 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
If necessary, depending on the Corona situation the course will be digital.
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.
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: 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 2021.
Associate Professor Walter Pohl, Department of Finance, NHH