FM503     
Asset Pricing for Research Students

This information is for the 2015/16 session.

Teacher responsible

Dr Georgy Chabakauri and Prof Ian Martin

Dr Dong Lou

Availability

This course is compulsory on the MRes/PhD in Finance (Route 1) and MRes/PhD in Finance (Route 2). This course is available on the MPhil/PhD in Accounting. This course is available with permission as an outside option to students on other programmes where regulations permit.

Course content

The course is divided into two parts relating to asset pricing theory empirical asset pricing. The asset pricing theory half of the course will cover static models of frictionless markets, dynamic discrete-time models, dynamic continuous-time models, and models with frictions. The second half of the course is dedicated to empirical evaluation of asset-pricing models. Representative agent models (with power, habit and recursive preferences) and their application to valuation of equities are covered. Next, no-arbitrage term-structure and option-pricing models are discussed. The class concludes with both equilibrium and reduced-from models of currencies.

Teaching

30 hours of lectures in the MT. 30 hours of lectures in the LT.

Indicative reading

• Darrell Duffie Asset Pricing Theory, Princeton University Press

• John Campbell, 1999, Asset prices, consumption, and the business cycle, in J. B. Taylor and M. Woodford, Eds., Handbook of Macroeconomics, Volume 1C, Elsevier Science B.V

• John Cochrane, 2004, Asset Pricing, Princeton University Press

• Kenneth Singleton, 2006, Empirical Dynamic Asset pricing, Princeton University Press

Assessment

Exam (90%, duration: 3 hours) in the main exam period.
Project (10%) in the LT.

Key facts

Department: Finance

Total students 2014/15: 10

Average class size 2014/15: 9

Value: One Unit

Guidelines for interpreting course guide information

Personal development skills

  • Application of numeracy skills
  • Specialist skills

Course survey results

(2011/12 - 2013/14 combined)

1 = "best" score, 5 = "worst" score

The scores below are average responses.

Response rate: 87.5%

Question

Average
response

Reading list (Q2.1)

2.1

Materials (Q2.3)

2.1

Course satisfied (Q2.4)

1.9

Lectures (Q2.5)

1.8

Integration (Q2.6)

1.8

Contact (Q2.7)

1.8

Feedback (Q2.8)

2.1

Recommend (Q2.9)

Yes

80%

Maybe

13.3%

No

6.7%