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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 with the notion and tests of Market Efficiency. 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, and other anomalies) and
study the debate around the existence of the anomalies. In the second part of
the course, we will look at potential channels for the origin and persistence
of anomalies. In particular, we will focus on the effects
of institutional demand for assets and its impact on asset prices. Finally,
we will discuss the literature on the limits of arbitrage and slow-moving
capital.
Lecture notes: The Efficient Market Hypothesis Testing asset pricing models: Overview Cross-sectional anomalies: The debate Institutions and Asset Pricing |
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