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Basic Principles of Asset Pricing

2019/2020
Учебный год
ENG
Обучение ведется на английском языке
4
Кредиты
Статус:
Курс по выбору
Когда читается:
1-й курс, 3, 4 модуль

Преподаватель

Программа дисциплины

Аннотация

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.
Цель освоения дисциплины

Цель освоения дисциплины

  • To provide substantial knowledge about the asset pricing and its application in solving real life problems in finance.
Результаты освоения дисциплины

Результаты освоения дисциплины

  • 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.
Содержание учебной дисциплины

Содержание учебной дисциплины

  • 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
Элементы контроля

Элементы контроля

  • In-class participations/presentations/Assignments (неблокирующий)
  • Midterm exam (неблокирующий)
  • Final exam (неблокирующий)
Промежуточная аттестация

Промежуточная аттестация

  • Промежуточная аттестация (4 модуль)
    0.55 * Final exam + 0.2 * In-class participations/presentations/Assignments + 0.25 * Midterm exam
Список литературы

Список литературы

Рекомендуемая основная литература

  • 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

Рекомендуемая дополнительная литература

  • 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