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, multi-factor 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.




Reading List 2020


Course syllabus 2020




Lecture notes:


The Efficient Market Hypothesis


Testing asset pricing models: Overview


Cross-sectional anomalies: The debate


Conditional asset pricing: Tests and critiques


ICAPM, recent trends, and skeptical appraisal (not for this year)


Liquidity and Asset Pricing


Limits of Arbitrage




Past Exams:

Mock exam question

2009 final exam

2010 final exam

2011 final exam

2012 final exam with solutions

2013 final exam

2014 final exam

2015 final exam

2016 final exam

2019 final exam