Asset Pricing - Finance IV

Catalog description

This course covers the current body of work in asset pricing. We review the classic questions, the empirical methods to study them, open issues that constitute the ongoing research agenda, and new research directions. Topics covered in the course include: review of the basic asset pricing theory; predictability of asset returns and time-varying risk premia; linear factor models and their applications to the cross section of asset returns; dynamic models of the yield curve; the joint pricing or real bonds, nominal bonds, and equities; the role of expectations formation in asset pricing; review of current research directions.