Asset Pricing II

FIN545B Asset Pricing II

Spring 2022

  • Topics

    This course is a PhD level course on advanced asset pricing, both theoretical and empirical. Topics include time-series and cross-sectional properties of asset returns, financial frictions, limits to arbitrage in financial markets and intermediary asset pricing. The objective of the course is to review the most recent research in asset pricing. That is, central to the course is reading current research papers to generate ideas for future research including dissertation topics.

  • Learning outcome

    After the successful completion of this course students will have the ability to:    

    Knowledge:  

    • describe the core ideas of seminal research papers in this field
    • evaluate the potential of current research in asset pricing 

    Skills:  

    • formulate empirical tests of asset pricing models
    • implement and test asset pricing models 

    Competence:  

    • critically review and discuss research papers
    • identify promising research ideas in the asset pricing literature
    • replicate papers on asset pricing
    • carry out research at the frontier of asset pricing at high international standards

  • Teaching

    This course is supposed to be a highly interactive where students will present research papers which then will be further discussed by the audience under the guidance of the teacher. 

  • Restricted access

    PhD students at NHH.

  • Required prerequisites

    The prerequisites are a PhD level course in theoretical asset pricing, a PhD level course in empirical asset pricing, as well as some exposure to econometrics.

  • Assessment

    Oral presentations of two research papers. The presentations should include a summary as well as a critical evaluation of the research papers.  (100%).

  • Grading Scale

    Pass/Fail

  • Literature

    John H. Cochrane, Asset Pricing: Revised Edition; Princeton University Press, 2005.

    Campbell, John Y., Andrew W. Lo, and A. Craig MacKinlay, The Econometrics of Financial Markets, Princeton, NJ: Princeton University Press, 1997.

    John Y. Campbell, 2017, Financial Decisions and Markets; Princeton University Press, 2017.

Overview

ECTS Credits
5
Teaching language
English
Semester

Spring. Offered spring 2022.

Course responsible

Professor Nils Friewald, Department of Finance, NHH (main responsible).

Professor Walter Pohl, Department of Finance, NHH.