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Swedish House of Finance
  • About
  • Research
  • National PhD program
    • Core courses
    • Mini courses
    • National PhD visitor program
    • National PhD conferences
    • PhD Seminars
    • Job market candidates
    • PhD Placements
    • Other activities
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  • Data center

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 you 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.

 

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.

Registration and further information

Jenny Wahlberg Andersson

Course administrator 

Please register in advance to:

Jenny.wahlberg.andersson@hhs.se

The registration deadline is December 20, 2020.

 

For further information about the course, please contact Jenny. There will be possibilities for PhD students to receive funding for travelling expenses. To apply, please send a brief motivation letter/mail by the supervisor and a budget to Jenny.

Schedule

Classes will be held at the premises of the Swedish House of Finance (Drottninggatan 98, 111 60, Stockholm) between 10 AM and 4 PM (including a lunch break) on the following days:

November 02, 10-12 & 13-16
November 03, 10-12 & 13-16
November 09, 10-12 & 13-16
November 16, 10-12 & 13-16
November 23, 10-12 & 13-16
December 02, 10-12 & 13-16
December 09, 10-12 & 13-16
December 16, 10-12 & 13-16

However, depending on the developments of Covid-19, classes may be given in a remote format, and then on different dates and times than the above. Further information will follow.

Magnus Dahlquist

Read more

Swedish House of Finance

Drottninggatan 98, 111 60 Stockholm

info@houseoffinance.se +46 8 736 91 00
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