Empirical Asset Pricing

Empirical Asset Pricing studies the time-series and cross-sectional behavior of asset prices. This field is highly relevant for research in financial economics. Empirical asset pricing research is the basis for any study in investments and essential part of many financial management applications such as risk management, portfolio selection, and performance evaluation. This course focuses on the topics listed below and, during the lectures, we will discuss the main empirical findings as well as the methodological issues along with a few insights into the main theoretical models. The lectures will also include student presentations of selected academic articles. Students will also complete an individual referee report assignment and they will work on a term project in pairs. The objective of these term projects is to replicate empirical asset pricing papers and the students will present their key results during the last lecture.

Topics:

• Cross-section of stock returns
• Time-series return predictability
• Investments and consumption-based asset pricing Mutual funds and asset management
• Labor and asset pricing
• The cross-section and time series of currency returns

• Mutual funds and asset management industry

• Private equity and alternative assets