Theory and Practice of Financial Research. 3 credits, 3 contact hours

Catalog description

Prerequisites: Approval from PhD program director. Students enrolling in this course should be familiar with basic finance concepts such as time value of money, present value discounting, and fundamental econometric analysis tools such as ordinary least squares linear regression. This course provides an in-depth review of current topics in the empirical asset pricing literature. In addition, this course will survey core asset pricing ideas including market efficiency and the capital asset pricing model. However, it will also explore novel applications of machine learning and data science techniques to portfolio and asset management. This course will also explore the failure of classical equilibrium models to explain asset prices and new developments in cross-sectional asset pricing which improve such issues. The course will also provide potential explanations for the existence and persistence of pricing anomalies in the stock market.