Empirical Asset Pricing

Introduction

This course is intended for PhD students in finance and related fields. The course is an introduction to empirical research in finance. Topics include tests of asset pricing models, return predictability, present values and VARs, conditional and unconditional tests. The aim is to familiarize students with essential empirical approaches and with important empirical facts and areas of current research interest.

Course content

1.  A Recap of the SDF and properties of returns
Campbell Chapters 3 and 4
Cochrane Chapters 1, 2 and 4

2.  Return Predictability
Campbell Chapter 5
Cochrane Chapter 20
Ferson Chapter 30, 32

3. The Cross-section of Expected Stock Returns
Campbell Chapter 3 and 4
Cochrane Chapter 9-15, 20, 21
Ferson Chapter 12-22, 33

(a) Testing Methodologies: Time-series, cross-section.
(b) CAPM and APT
(c) Characteristic based factors
(d) The factor zoo

4. Testing the Consumption and Production CAPMs: Habit and LRR
Campbell Chapter 6 and 7
Ferson Chapter 29, 31

5. Fixed Income
Campbell Chapter 8
Cochrane, Chapter 19