Empirical Asset Pricing

This course is an introduction to empirical research in asset pricing. We begin with a review of econometric methods often used in asset pricing research. We then cover return predictability in the time series and the cross-section. We also cover evaluations of various asset pricing models. The goal is to familiarize students with essential econometric methods, important empirical facts, and areas of current research interest. The emphasis is on the pricing of equities, but we also deal with bonds and currencies.

There is no required textbook for the course. However, I will frequently refer to John Campbell’s textbook Financial Decisions and Markets: A Course in Asset Pricing (Princeton University Press, Princeton, 2018). I will distribute a detailed reading list, comprised mainly of articles, well in advance of the first class meeting.

Assignments and assessment
Regular assignments will be the basis for the course grade. In these assignments, you will evaluate some of the models that are considered – the idea is to reproduce, or otherwise, the results reported in the literature. We will use some of the class time to discuss answers to the assignments. Later you will receive further details regarding the assignments and grading.