Asset Pricing Workshop II

Learning outcomes:
Participants will be introduced to the research frontier in empirical asset pricing by reading and discussing recent research papers. The workshop requires previous knowledge of the classic literature in empirical asset pricing, including a solid understanding of factor models, time-series and cross-sectional regressions, and the Generalized Method of Moments. The workshop has two main parts. In the first part, we will discuss recent research in empirical asset pricing. The goal is to give students an overview of what the current outstanding questions are in the field. The second part of the workshop is centered on student presentations of their own (preliminary) research. Each student will present their own research, which then will be discussed by the students and the lecturer. The goal here is to give each student valuable feedback on both the presentation itself and on the research project in a friendly environment.
The workshop is aimed at dissertation-stage PhD students. Faculty participation is also welcome, including presentation (in the second part of the workshop) of own research to obtain feedback.

Knowledge - The candidate...
•    is in the forefront of knowledge within contemporary topics in empirical asset pricing
•    can evaluate the expediency and application of different methods and processes for conducting empirical research in this area
•    can contribute to the development of new knowledge, new theories and methods in empirical asset pricing

Skills – The candidate...
•    can formulate problems, plan and carry out empirical research within the domain of empirical asset pricing
•    can carry out research and scholarly research work of a high international standard and be able to publish in international peer reviewed finance journals
•    can handle complex academic issues and challenge established knowledge in asset pricing

Competence - The candidate...
•    can identify the marginal contribution of their research and carry out his/her research with scholarly integrity
•    can communicate research in empirical asset pricing and actively participate in debates in the field in national and international scholarly forums 

The workshop is based on recent research papers and the main topics will include the cross-section and time-series of stock returns, financial frictions, intermediary asset pricing, as well as uses of machine learning and textual analysis in finance. In addition, the students’ own research papers in the general area of empirical asset pricing will be discussed.

The workshop is based on selected articles from top-tier finance and economics journals, as well as recent notable working papers in empirical asset pricing.

The workshop will consist of a combination of lectures and discussion where participation in discussions are important for all workshop participants.

Student presentations:
Each student that is ready to do so will present one of their working papers in the first day of class. The paper need not be polished, but there should be some concrete results and thought behind the economic 'story' (e.g., what is the marginal contribution? why is this important? what is the economic intuition for the results? etc). The students must prepare slides in PDF format (max 20 slides; printing to a pdf file ensures that tables, figures and equations look good regardless of platform) and bring a USB stick with their slides to the first day of class. All class participants are expected to comment constructively on the papers with the goal of improving the papers.

Computer requirements / Tools:
It is assumed that all interested students are facile with MatLab, Stata, etc.

Requirements for course approval:
Student participation in class, as well as a presentation of a research project of research idea.

A letter grade is given based on performance on the following two dimensions: (1) student presentation (50%), (2) class participation (50%).

In total both Workshop sessions will count for 4 ECTS.

Open to finance faculty and dissertation-stage finance PhD students.

For information about lodging and application please contact:

Registration form

Tentative reading list and class outline

Monday 11 DEcember 2017

Time 10:15 - 16:00

Limits to Arbitrage and Financial Intermediation

Stambaugh, Robert F., Jianfeng Yu, and Yu Yuan, “The short of it: Investor sentiment and anomalies.” Journal of Financial Economics 104, 288-302.

Stambaugh, Robert F., Jianfeng Yu, and Yu Yuan, 2015, “Arbitrage asymmetry and the idiosyncratic volatility puzzle,” Journal of Finance 70, 1903-1948.

Adrian, T., Etula, E., and T. Muir (2014), Financial Intermediation and the Cross-Section of Asset Returns, forthcoming at the Journal of Finance

He, Z., Kelly, B., and A. Manela, 2016, Intermediary Asset Pricing: New Evidence from Many Asset Classes, Journal of Financial Economics, forthcoming.

Acharya, V., L. Lochstoer, and T. Ramadorai, 2013, Limits to arbitrage and limits to hedging: Evidence from Commodity Markets, Journal of Financial Economics 109, 441-465.

Muir, T., 2017, Financial Crisis and Risk Premia, Quarterly Journal of Economics¸ forthcoming.

Krishnamurthy, A., and A. Vissing-Jorgensen, 2012, The aggregate demand for treasury debt, Journal of Political Economy 120.

Lucca, D., and A. Moench, 2015, The Pre-FOMC Announcement Drift, Journal of Finance 70, 329-371.

Tuesday 12 december 2017

Time 10:15 -16:00

Student presentations and class feedback