Seminar Asset Pricing 1
The goal of this course is to provide an in-depth and state-of-the-art overview of the academic field of asset pricing, which seeks to understand the price of financial assets such as stocks, fixed income securities, and derivatives. After the course, students will be expected to possess a profound understanding of the latest insights academic research has to offer on the pricing of financial securities.
We will give a rigorous and critical treatment to key topics in asset pricing. The key topics include market efficiency, market liquidity, return predictability, multifactor asset pricing models (APT and ICAPM) and their application in performance evaluation, fixed income markets, and credit risk, and market microstructure. The course is set up in a seminar style. Each session of the course will be dedicated to one theme. In each session, we will discuss three seminal papers, with about 45 minutes on each paper. We start the discussion of each paper with a presentation by one student, followed by an in-depth discussion organized by the instructor. Prior to each meeting, all students are required to read each article and submit two burning questions about the article.
Presentations and critical review of new research papers. The grade will consist of two parts: participation in each meeting and referee reports after each meeting. The performance for participation will reflect the quality of questions, the presentation and contribution to the discussion
Selected academic papers
The timetable for this course can be found in the EUR course guide.
ERIM PhD candidates and Research Master students can register for this course via Osiris Student.
External (non-ERIM) participants are welcome to this course. To register, please fill in the registration form and e-mail it to the ERIM Doctoral Office by four weeks prior to the start of the course. For external participants, the course fee is 260 euro per ECTS credit.