Asset Pricing


As with all of ERIM’s research themes, Asset Pricing strives for excellence through research that has societal relevance and meaningful impact. Such is the nature of the financial profession that by necessity academia and financial organisations work closely together at the highest levels. In this important area research falls into three separate fields: Asset management, Asset pricing, and Market microstructure.

Asset management

Asset management examines optimal portfolio allocation by investors and addresses questions such as:

  • How should investors optimally combine different asset classes and individual securities in their portfolio? 
  • How do individual and institutional investors actually invest and how well do they perform? 
  • How can investors optimally manage the risks of their investments?

Asset pricing

Asset pricing studies the price formation process on financial markets and addresses questions such as:

  • What are the determinants of the prices, and thus the expected returns, of securities?
  • What is the trade-off of risk and return that investors face? 
  • How quickly is new information incorporated into prices?
  • Are security returns predictable?

Market microstructure

Market microstructure investigates the trading mechanism of securities and addresses questions such as:

  • How does the trading mechanism affect the trading, liquidity and price formation of securities?
  • How can we enhance the information aggregation process? 
  • How can we prevent market failures?


All of ERIM’s programmes and themes offer a collaborative and multidisciplinary environment where researchers share many common goals as they pursue academic excellence.