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(PhD) Empirical Asset Pricing II

Fall 2013 PHD Course

B9320-001: (PhD) Empirical Asset Pricing II

W - Full Term, 04:15PM to 07:15PM
Location: URI 328

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.