Asset Pricing II

FIN545B Asset Pricing II

Autumn 2024

  • 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 can:


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


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

    General 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 candidates at NHH
    • PhD candidates at Norwegian institutions

  • 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

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

  • Grading Scale


  • 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.


ECTS Credits
Teaching language

Spring. Offered Spring 2024.

Course responsible

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

Professor Walter Pohl, Department of Finance, NHH.