Asset Pricing for ReMa

Faculteit Economie en Bedrijfskunde
Jaar 2017/18
Vakcode EBM172A05
Vaknaam Asset Pricing for ReMa
Niveau(s) master
Voertaal Engels
Periode semester II b
ECTS 5
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Uitgebreide vaknaam Asset Pricing for ReMa
Leerdoelen The goal is to highlight how one basic idea, price equals expected discounted payoff, unites all asset pricing approaches. By the end of the course students can evaluate classic models such as the CAPM, APT, ICAPM. Students should be able to apply GMM to estimate and evaluate asset pricing models, as well as the classic regression tests.
Omschrijving This course surveys the theoretical and empirical asset pricing literature. The most common theories are discussed and linked to classic empirical facts. In addition, econometric tools are provided to test the theories. The target group of this course are Research Master students, that preferably have some background in Finance and a decent background in calculus, algebra, and econometrics. The course highlights how one basic idea, price equals expected discounted payoff, unites everything - models that describe stocks, bonds, options, real investments, discrete time, continuous time, asset pricing, portfolio theory, and so forth. The course starts with a recap of the stylized facts of asset markets. Then, the we introduce the main pricing equation that is build on the underlying consumption-based model and relate it to some classic issues in finance. After having outlined the big ideas of the whole class we study contingent claims and the theorems showing the existence of a discount factor. The course explores the mean-variance frontier and links it to expected return-beta models and factor structures. The classic linear models such as the CAPM, APT, ICAPM are discussed to illustrate these ideas. Finally, the course introduces GMM to estimate and evaluate asset pricing models, as well as the classic regression tests.
Uren per week
Onderwijsvorm hoor- en werkcolleges
Toetsvorm
(Assignments, Written Exam)
Vaksoort master
Coördinator dr. L. Dam
Verplichte literatuur
Titel Auteur ISBN Prijs
Asset Pricing, Revised Edition, 2005, Princeton University Press Cochrane, J.H.
Entreevoorwaarden Students should have basic knowledge of finance, matrix algebra, multivariate calculus, simple differential equations, statistics, economics (utility theory), time-series econometrics (AR(1), etc). Basic knowledge of either Matlab or Stata or similar packages is needed for the empirical part.
Opmerkingen Secretary: Grietje Pol, e-mail: g.pol@rug.nl, phone: +31 (0)50 363 3685, room 5411.0836
Opgenomen in
Opleiding Jaar Periode Type
Research Master in Economics and Business  (keuzevakken ReMa-Bus.Analytics & Ectrics) 1 semester II b keuze