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Regular version of the site

Basic Principles of Asset Pricing

2019/2020
Academic Year
ENG
Instruction in English
4
ECTS credits
Course type:
Elective course
When:
1 year, 3, 4 module

Instructor

Course Syllabus

Abstract

This is an introductory course to the asset pricing. The course starts with the overview of asset pricing and progresses towards the more advanced topics on asset pricing. It also discusses empirical puzzles and recent theories that have been developed to try to solve them.
Learning Objectives

Learning Objectives

  • To provide substantial knowledge about the asset pricing and its application in solving real life problems in finance.
Expected Learning Outcomes

Expected Learning Outcomes

  • Students are able to critically analyze the given problem and to derive comprehensive solutions for the given problem.
  • Students have knowledge of asset pricing models and its appropriate applications.
  • Students are able to Identify problem and select appropriate model.
  • Students are able to develop new model and apply it to solve the problems in finance.
Course Contents

Course Contents

  • Overview of asset pricing
  • Classic issues in finance
  • Discount factor
  • Mean-variance frontier & beta representations
  • Trends of factor models used in asset pricing
  • Generalized Method of Moments
  • Fama-French and Performance Evaluation
  • Econometrics of linear factor pricing models
  • Macroeconomics and asset pricing
  • Portfolio theory
Assessment Elements

Assessment Elements

  • non-blocking In-class participations/presentations/Assignments
  • non-blocking Midterm exam
  • non-blocking Final exam
Interim Assessment

Interim Assessment

  • Interim assessment (4 module)
    0.55 * Final exam + 0.2 * In-class participations/presentations/Assignments + 0.25 * Midterm exam
Bibliography

Bibliography

Recommended Core Bibliography

  • Cochrane, J. H. (2005). Asset Pricing (Vol. Rev. ed). Princeton, N.J.: Princeton University Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=329716

Recommended Additional Bibliography

  • Cochrane, J. H. (1991). Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations. Journal of Finance (Wiley-Blackwell), 46(1), 209–237. https://doi.org/10.1111/j.1540-6261.1991.tb03750.x
  • Eugene F. Fama, & Kenneth R. French. (2010). Luck versus Skill in the Cross-Section of Mutual Fund Returns. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.FE5C742C
  • FAMA, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance (Wiley-Blackwell), 25(2), 383–417. https://doi.org/10.2307/2325486
  • Fama, E. F. (1991). Efficient Capital Markets: II. Journal of Finance, (5), 1575. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.a.bla.jfinan.v46y1991i5p1575.617
  • Fama, E. F., & French, K. R. (1996). Multifactor Explanations of Asset Pricing Anomalies. Journal of Finance, (1), 55. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.a.bla.jfinan.v51y1996i1p55.84
  • Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, (1), 1. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.a.eee.jfinec.v116y2015i1p1.22
  • Five concerns with the five-factor model. (2018). Journal of Portfolio Management, 44(4), 71–78. https://doi.org/10.3905/jpm.2018.44.4.071
  • Hansen, L. P. (1982). Large Sample Properties of Generalized Method of Moments Estimators. Econometrica, (4), 1029. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.a.ecm.emetrp.v50y1982i4p1029.54
  • John H. Cochrane. (2011). Presidential Address: Discount Rates. Journal of Finance, (4), 1047. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.a.bla.jfinan.v66y2011i4p1047.1108
  • John Y. Campbell, & John H. Cochrane. (1999). By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.BCB5F467
  • R. Gibbons, Tephena Ross, & Jay Shanken. (1989). A Test of the Efficiency of a Given Portfolio. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.BE5CEAB1
  • Ravi Bansal, & Amir Yaron. (2012). An empirical evaluation of the long-run risks model for asset prices. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.9F0C844E