Empirical Asset Pricing ( Finanças Empíricas, Ph.D.)
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Objective
The aim of this course is to provide you with a general view of asset pricing with a focus on empirical methods and facts. You are required to take Asset Pricing Theory before you take this course. We will include some topics on asset pricing theory that were not covered in the previous course.
Readings
We will use a few books and a long list of papers. A very long list of papers is available on the main Course website. Also, a list of links to interesting presentations available on the web on topics related to this course. We will use parts of all books below:
Ferson, W.; Empirical Asset Pricing.
Cochrane, J., Asset Pricing, Revised edition.
Campbell, John Y., Financial Decisions and Markets: A Course in Asset Pricing.
Campbell, J.Y., Lo, A. W. and A. Craig MacKinlay, The Econometrics of Financial Market.
Topics
I aim to cover most of the topics below but I may confess that it sounds a bit ambitious: Asset Return Patterns and the Basic Theory (SDF, MVF and ER-Beta Representations); Cross-section of Asset Returns: Methods and Facts; Return Predictability: Methods and Facts; Biases in Cross-Sectional and Predictability Tests: Persistence, Strong Factor Structure etc.; A Quick Review of Long-Run Risk and Disaster Models; Hansen-Jagannathan, Entropy and other Bounds; Continuous Time Finance: Basics; Option Pricing and Empirics; Intertemporal Risks; Term Structure of Asset Returns and Prices (Bonds, Equities and Volatility); Present Value Models; Return and Price Decompositions: Expectations vs Risk Premium; Recovery and Kernel Decompositions; Currency Factors; Commodity Factors; Politics and Asset Pricing; Effects of Short-Selling; Zoo of Factors (Hundreds of Return Factors) and Machine Learning in Asset Pricing Research; Microstructure and Other Patterns in Asset Returns; Household Behavior.
Class Evaluation
Your final grade will be based on a risky and uncertain combination of: 1) written exam; 2) referee reports; 3) empirical project (including the replication/variation of two classic papers) and 4) at least two presentations of classic and recent papers. As a Finance student, you are required not to be afraid of risk and uncertainty... You are also expected to attend the meetings of the Finance Hub. You will see some papers on Behavioral Finance there from time to time, a topic we will not cover in our courses.
Visit Site (restricted to students)
Objective
The aim of this course is to provide you with a general view of asset pricing with a focus on empirical methods and facts. You are required to take Asset Pricing Theory before you take this course. We will include some topics on asset pricing theory that were not covered in the previous course.
Readings
We will use a few books and a long list of papers. A very long list of papers is available on the main Course website. Also, a list of links to interesting presentations available on the web on topics related to this course. We will use parts of all books below:
Ferson, W.; Empirical Asset Pricing.
Cochrane, J., Asset Pricing, Revised edition.
Campbell, John Y., Financial Decisions and Markets: A Course in Asset Pricing.
Campbell, J.Y., Lo, A. W. and A. Craig MacKinlay, The Econometrics of Financial Market.
Topics
I aim to cover most of the topics below but I may confess that it sounds a bit ambitious: Asset Return Patterns and the Basic Theory (SDF, MVF and ER-Beta Representations); Cross-section of Asset Returns: Methods and Facts; Return Predictability: Methods and Facts; Biases in Cross-Sectional and Predictability Tests: Persistence, Strong Factor Structure etc.; A Quick Review of Long-Run Risk and Disaster Models; Hansen-Jagannathan, Entropy and other Bounds; Continuous Time Finance: Basics; Option Pricing and Empirics; Intertemporal Risks; Term Structure of Asset Returns and Prices (Bonds, Equities and Volatility); Present Value Models; Return and Price Decompositions: Expectations vs Risk Premium; Recovery and Kernel Decompositions; Currency Factors; Commodity Factors; Politics and Asset Pricing; Effects of Short-Selling; Zoo of Factors (Hundreds of Return Factors) and Machine Learning in Asset Pricing Research; Microstructure and Other Patterns in Asset Returns; Household Behavior.
Class Evaluation
Your final grade will be based on a risky and uncertain combination of: 1) written exam; 2) referee reports; 3) empirical project (including the replication/variation of two classic papers) and 4) at least two presentations of classic and recent papers. As a Finance student, you are required not to be afraid of risk and uncertainty... You are also expected to attend the meetings of the Finance Hub. You will see some papers on Behavioral Finance there from time to time, a topic we will not cover in our courses.