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(PhD) Empirical Asset Pricing II

Spring 2010 PHD Course

B9311-016: (PhD) Empirical Asset Pricing II

W - Full Term, 04:00PM to 07:00PM
Location: WJW 415

Instructor: Lars Lochstoer


This is the second of a two course sequence that examines the asset pricing side of financial economics. The course will focus on the development of stylized facts and tools for the investigation of data, while the first course covered more theoretical aspects of asset pricing.

The asset pricing field is vast, but we will focus primarily on two core ideas:

1. time-series properties of asset returns (predictability, volatility, correlations with other variables, etc.)
2. cross-sectional properties of asset returns implied by equilibrium asset pricing models (including CAPM, consumption-based asset pricing, factor models, etc.)
We’ll also examine the bond market and look at some simple term structure models, as well as the pricing of equity index derivative securities. Finally, we will discuss some recent research on the commodity futures markets.
We will use a variety of econometric techniques, including GMM and maximum likelihood, as well as various time-series models. We view these econometric techniques as a way of answering economic questions, rather than being interested in the econometric methodology per se.


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