Module code: AFE7017-A
Asset Pricing provides students with a detailed understanding of the theoretical frameworks that lie behind the main asset pricing models in financial economics. It also critically reviews that empirical evidence that evaluates the ability of these models to reflect real-world financial market prices. Students who complete this module will be able to understand the strengths and limitations of the models that they will use in their future financial careers.
Introduction to Utility Theory; Risk aversion; Mean-Variance Decision Making; The CAPM and and Empirical Tests of the CAPM; The Consumption CAPM;; Factor models (Fama and French, 1993 and Carhart et al. 1997); Estimation of factor models with the two-step Fama-MacBeth (1973) procedure for identifying risk premia in asset prices; Rolling betas as risk factors; Estimating robust, one way and two-way clustered adjusted standard errors (Petersen, 2009); Market Anomalies; Event Study Methodology; Environmental valuation. Use of Bloomberg for downloading relevant data and STATA/R software to estimate relevant asset pricing models.
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