Teaching
Empirical Asset Pricing
Doctoral course
A doctoral course organized entirely around the stochastic discount factor: theory is taken as given and confronted with data. Three clusters of questions: the level of prices and the equity premium, the cross-section of expected returns, and time variation in expected returns. The same SDF machinery is then applied across bonds, currencies, options, and commodities. Students present papers from a curated list.
Topics
- Stylized facts and the equity premium
- Linear factor models and their econometrics: time-series and cross-sectional tests, Fama-MacBeth, GMM
- Conditional models and the Lewellen-Nagel-Shanken critique
- Return predictability and present-value logic
- Continuous-time methods; options and no-arbitrage valuation
- Bonds and affine term-structure models
- Currencies and commodities through the SDF lens
- Paper presentations from a curated reading list
Audience
PhD students; assumes a first-year asset pricing theory course (Cochrane ch. 1-9 or Campbell ch. 1-7).
Materials
Nine lecture-note blocks, a 15-chapter companion book, a data manual, problem sets with code, and a paper-presentation program.
The course is a continuation of a first-year asset pricing theory sequence: theory is taken as given, and the work is confronting it with data. A companion book extends the lecture notes into credit, real estate, production-based, intermediary, and demand-system asset pricing, and a data manual plus problem sets with code make the empirical work reproducible.