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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
explanations for the origin and persistence of anomalies. In particular, we
will focus on the effects of index-related demand for stocks and we will
touch upon demand-based asset pricing. Finally, we will discuss the
literature on the limits of arbitrage and slow-moving capital. The grading is based on a
referee report on a paper of your choice within the streams of literature
discussed in class, a class presentation of this report, which highlights the
contribution of the paper to the literature, its strengths and limitations, and
a replication exercise of an empirical paper discussed in class.
Lecture notes: The Efficient Market Hypothesis Testing asset pricing models: Overview Cross-sectional anomalies: The debate Institutions and Asset Pricing |
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