PhD Seminar in Empirical Asset Pricing. 3 credits

Catalog description

This course focuses on selected topics of empirical asset pricing. We start by reviewing the classic theories on market efficiency and return predictability. We then focus on crosssectional asset pricing tests and review the standard methodologies proposed in the literature. Considerable effort will be placed in the implementation and coding of the procedures (using SAS, STATA or Python). We consider tests of the CAPM and multi-factor models, including time-series regressions, cross-sectional regressions and GMM. Part of class time is also dedicated to the construction of factors and portfolios for testing. In the second part of the course, we review the applications of asset pricing models to mutual funds, hedge funds and event studies. At last, we have a brief review of behavioral finance.Offered by Finance. May not be repeated for credit.