BUS-F625 Empirical Asset Pricing

• 15 weeks
• 3 credits
• Prerequisite(s): BUS-F600

This course covers the foundations of empirical work in asset pricing. Empirical work must of course be grounded in theory, so we begin with an overview of the main building blocks of modern asset pricing theory. The bulk of the course is spent studying the seminal papers that develop tests of asset pricing models, although time is also spent on important contemporary working papers.

Sample Course Outline

1. Overview of theoretical and empirical asset pricing
    
2. Time-series of stock returns
   1. Univariate time series and tools
   2. Return predictability
       
3. Asset pricing models
   1. Time-series tests
   2. The cross-section of expected returns and anomalies
   3. Conditional models, the Consumption CAPM, and "puzzles"
   4. Test assets and problems with tests
       
4. Recent developments in empirical asset pricing research

Readings are drawn primarily from original research papers, with additional supporting material coming from:

1. Campbell, J. Y., A. W. Lo, and A. C. MacKinlay 1997. The Econometrics of Financial Markets.
2. Cochrane, John H. 2005. Asset Pricing (Rev.).
3. Tsay, R. S. 2010, Analysis of Financial Time Series (3rd ed.).
4. Hamilton, J. D. 1994, Time Series Analysis.