Special Topics in Finance: Empirical Methods in Finance (FINC-530-0)
This is an introductory course on Empirical Asset Pricing with a focus on topics of current research interest and dynamic models in continuous-time. We will examine empirical evidence of existing theory and provide a roadmap of ideas for future theoretical inquiry.
This course has a broad coverage and a long reading list of papers, with an emphasis on studying the current literature. Necessary econometric methods such as Fama-MacBeth procedure, GRS test, GMM, time-series processes, methods for continuous-time processes (It¿ calculus, including jumps), martingales and changes-of-measure, and techniques of Monte Carlo simulation will all be developed within the course.
Topics include (but not limited to):
(1) linear unconditional and conditional beta pricing models (including empirical factors such as Fama-French model, momentum factor, and models of liquidity and illiquidity risk premia) and rational versus behavioral debate on robust empirical anomalies (including the disposition effect)
(2) return predictability
(3) consumption based models of stochastic discount factor
(4) stochastic nature of volatility and existence of variance risk premium
(5) models for term-structure of riskfree rates and factors affecting bond risk premia
Time permitting, we will also discuss current state of research on long-standing empirical puzzles confronting canonical theory such as the equity premium puzzle.
This course is intended for first or second year PhD students in finance and economics who have successfully completed at least one quarter of econometrics and have general knowledge in basic financial economics. Expertise in running regression and doing statistical analysis in MATLAB (or similar platform) is preferred, however, tutorial sessions on MATLAB will be held.
Starting from the second week of the quarter, review sessions will meet on Tuesdays, 3:00PM - 5:00PM, in Jacobs 4214. Attendance for all lectures and reviews is mandatory. Course grade will be based on weekly assignments, writing referee report(s), and class presentation of a research paper.
Well prepared students may request a waiver from the prerequisite requirements by contacting the instructor via e-mail.
Attendance by any student without proper course registration is strictly prohibited.
There are no sections matching your search criteria. Please search again with different criteria or contact the Kellogg School registrar for more information.