Empirical Asset Pricing
Aims
The aim of this course is to provide a profound and state-of-the-art insight into empirical asset pricing. Empirical asset pricing is the chain that connects asset pricing theory to asset prices and vice versa. On the one hand it concentrates on testing asset pricing theory on asset prices; on the other hand it aims to establish the properties of asset prices that asset pricing theory should explain. The field is highly relevant for research in financial economics, because it studies the methods needed to assess the quality of asset pricing models as well as the quality of trading strategies in financial markets.
Information
The course starts with a treatment of the existing techniques to test asset pricing models. The econometric background and the practical implications of different tests are discussed. The course continues with a discussion of several seminal papers in seminar style with presentations and discussions. We consider papers that delve deeper into methodological issues as well as papers that apply methods to test new asset pricing models or establish new regularities in asset prices.
Assessment
Presentations and assignments
Materials
Journal articles, t.b.a.
