

Empirical
Asset Pricing This course is intended for
Ph.D. students in Finance. It focuses on selected topics in empirical asset
pricing. We will start from the notion and tests of Market Efficiency,
including recent developments in Machine Learning. Then, we discuss the
theory behind the tests of Asset Pricing models, starting from CAPM. We will
examine the main failures of this model (size effect, value premium,
momentum, low volatility, profitability, other anomalies). Next, we will
consider some of the developments in cross sectional asset pricing
(conditional models, multifactor models). In the second part of the course,
we will focus on explanations for the persistence of anomalies. In
particular, we will discuss the literature on the limits of arbitrage and
slow moving capital. We will also discuss the role of institutional investors
in distorting asset prices. The econometric tools that will encounter include:
Linear Regression, Maximum Likelihood, Generalized Method of Moments, simple
Machine Learning approaches. Since the focus of the class is on applications,
the discussion of the econometric tools will be informal. The grading is based on a final exam and on class
presentations. Lecture
notes: The Efficient Market Hypothesis Testing asset
pricing models: Overview Crosssectional
anomalies: The debate Conditional asset
pricing: Tests and critiques ICAPM, recent trends, and
skeptical appraisal (not for this year) Past Exams: 2012 final exam
with solutions 