FIN501B Asset Pricing I
This course is a PhD level course on empirical asset pricing. Topics include time-series and cross-sectional properties of asset returns, financial frictions and limits to arbitrage in financial markets. The objective of the course is twofold. First, to familiarize students with the econometric methods commonly used in this field. Second, to review recent research in empirical asset pricing. That is, reading current research papers to generate ideas for future research including dissertation topics.
After the successful completion of this course students will have the ability to:
- recall the principal methods of cross-sectional asset pricing
- name the most prominent asset pricing anomalies
- recall potential explanations for persistent anomalies
- describe the core ideas of seminal research papers in this field
- name the current most promising working papers in empirical asset pricing
- obtaining and processing of large amounts of financial data
- formulate empirical tests of asset pricing models
- implement and test asset pricing models
- critically review and discuss research papers
- identify promising research ideas in the empirical asset pricing literature
- replicate papers on empirical asset pricing
- carry out research at the frontier of asset pricing on high international standards
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.
Students should have taken a master-level course in investment or equivalent (e.g, FIE400). The course also assumes familiarity with basic linear algebra, optimization, econometrics, statistics and a programming language like R, Matlab, etc.
Students must take FIN501A prior to FIN501B.
The grade is based on a portfolio consisting of class participation (20%), a paper discussion (40%) and a final project (40%). One grade is given for the entire portfolio. The evaluation of class participation will reflect the quality of a student's comments and insights, as well as the intensity of participation. There is no makeup for a missed class. The paper discussion involves summarizing and critically discussing a research paper. The final project consists of replicating an empirical asset pricing paper and the presentation of the results. As the assessment in this course by its nature cannot be re-examined, the grades awarded may not be appealed.
John H. Cochrane, Asset Pricing: Revised Edition, Princeton University Press, 2005.
- ECTS Credits
- Teaching language
Autumn. Not offered Autumn 2022.
Professor Nils Friewald, Department of Finance, NHH