Code:

BERM.ASC.006

Study year:

2008 - 2009

Long name:

Advanced Asset Pricing

ECTS:

5

Language:

English

Lecturer(s):

Hao Jang, Erik Kole, Marta Szymanowska

Faculty:

Erasmus School of Economics

Number of lectures:

Hours per lecture:

Goal:

Course contents:

The aim of this course is to provide a profound and state-of-the-art insight into asset pricing, both from a theoretical and empirical perspective. The field of asset pricing aims to explain the prices of financial assets such as stocks, fixed income instruments and derivative securities. The field is highly relevant for research in financial economics, because asset pricing models form the basis for any study in investments and are also fundamental to many financial management applications such as capital budgeting, risk management, portfolio selection and performance evaluation.

Building on the general pricing kernel framework laid out by Cochrane (2005), this course goes into more details of the advances in the field in the last 10 to 15 years. The course is set up in a seminar-style with presentations and discussions centred on different topics in the field. We will study the advances in factor models after Fama & French (JF 1992, JFE 1993) and Carhart (JF 1997), such as the liquidity factor of pastor & Stambaugh (JPE 2003) and the idiosyncratic volatility factor of Ang et al. (JF 2006). A second field of interest is formed by extensions of utility-based models, such as habit formation models (Campbell and Cochrane, JPE, 1999) and polynomial pricing kernels (Harvey and Siddique, JF 2000; Dittmar, JF 2002). The third subfield we consider comprises conditional asset pricing models (Jagannathan and Wang, JF, 1996); Lettau and Ludvigson, JPE, 2001). Finally, we pay attention to behavioural asset pricing models as in Barberis et al. (1998, JFE) Hong and Stein (1999, JF) and Lakonishok et al. (1994, JF).

Examination:

Presentations and written essay

Literature:

Journal articles, t.b.a.

Additional information: