| 课程内容简介 This course is an introduction to empirical asset pricing, with focus on particular topics. We will begin by reviewing some basic asset pricing theories and models together with important econometrics methods, and move on to discuss empirical evidences related to the theories. We will cover empirical evidences on the time-series and cross-sectional behavior of asset prices (including stocks, stock index, bonds, mutual funds, derivatives and currencies), and the methodologies used to uncover these evidences. Topics will include: predictability and volatility of equity index returns, cross-sectional tests of asset pricing models (CAPM, ICAPM, CCAPM), Fama-MacBeth regression, equity premium puzzle, systematic risk factors including macro factors, size and value factors, momentum factors, volatility models, term structure models. | | 课程内容简介（英文） This course is an introduction to empirical asset pricing, with focus on particular topics. We will begin by reviewing some basic asset pricing theories and models together with important econometrics methods, and move on to discuss empirical evidences related to the theories. We will cover empirical evidences on the time-series and cross-sectional behavior of asset prices (including stocks, stock index, bonds, mutual funds, derivatives and currencies), and the methodologies used to uncover these evidences. Topics will include: predictability and volatility of equity index returns, cross-sectional tests of asset pricing models (CAPM, ICAPM, CCAPM), Fama-MacBeth regression, equity premium puzzle, systematic risk factors including macro factors, size and value factors, momentum factors, volatility models, term structure models. | | 教学大纲 1. Introduction"Econometrics ReviewoOrdinary Least Square: Finite sample and asymptotic theoryoMaximum likelihood estimationoWald, likelihood ratio and Lagrange multiplier testsoGeneralized method of moments"Asset Pricing Theory ReviewoConsumption-based asset pricing modeloStochastic discount factor"Campbell, Lo and MacKinlay, Chapter 1."Cochrane, Chapter 1.2. Cross-Sectional Tests of Pricing Models"Campbell, Lo and MacKinlay, Chapter 5."Cochrane, Chapter 12."Fama and MacBeth, 1973, "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy 71, 607-636."Fama and French, 1992, "The Cross-Section of Expected Stock Returns," Journal of Finance 47, 427-486.3. Multifactor Models"Campbell, Lo and MacKinlay, Chapter 6."Cochrane, Chapter 20"Fama and French, 1993, "Common Risk Factors in the Returns on Stocks and Bonds," Journal of Financial Economics 33, 3-56.4. Momentum"Jegadeesh and Titman, 1993, "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance 48, 65-91."Fama and French, 1996, "Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance 47, 426-465.5. Predicting Returns"Campbell, Lo and MacKinlay, Chapter 7."Fama and French, 1989, "Business Conditions and Expected Returns on Stocks and Bonds," Journal of Financial Economics 25, 23-49.6. Volatility Models"Campbell, Lo and MacKinlay, 1997, Chapter 12.1-12.2."Bollerslev, Chou and Kroner, 1992, "ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence," Journal of Econometrics 52, 5-59."French, Schwert and Stambaugh, 1987, "Expected Stock Returns and Volatility," Journal of Financial Economics 19, 3-30.7. Intertemporal Asset Pricing Models "Campbell, Lo and MacKinlay, 1997, Chapter 8."Cochrane, Chapters 11, 13 and 21."Mehra and Prescott, 1985, "The Equity Premium: A Puzzle," Journal of Monetary Economics 15, 145-161"Hansen, and Singleton, 1982, "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectation Models," Econometrica 50, 1269-1288.8. Estimating and Testing Term Structure Models "Campbell, Lo and MacKinlay, 1997, Chapters 10 an 11."Cochrane, Chapters 19."Vasicek, 1977, "An Equilibrium Characterization of the Term Structure," Journal of Financial Economics 5, 177-188. "Cox, Ingersoll and Ross, 1985, "A Theory of the Term Structure of Interest Rate," Econometrica 53, 385-408."Gibbons and Ramaswamy, 1993, "A Test of the Cox, Ingersoll, and Ross Model of the Term Structure," Review of Financial Studies 6, 619-658. | | 课程进度计划 (无) | | 课程考核要求 Presentation 70%Thesis 30% | 参 考 文 献
- The following text book is required/recommended:1. John H. Cochrane, Asset Pricing, Princeton University Press, Princeton 2005.Refer this book as AP.2. John Y. Campbell, Andrew W. Lo, and A. Craig MacKinlay, The Econometrics of Financial Markets, Princeton University Press, Princeton, 1997. Refer this book as CLM.3. William H. Greene, Econometric Analysis, 4th Edition, Prentice Hall, UpperSaddle River, New Jersey, 2000.4. James D. Hamilton, Time Series Analysis, Princeton University Press, Princeton, 1994.
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