FINE 703. Empirical Asset Pricing .
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FINE 703
Empirical Asset Pricing
.
Credits: 3
Offered by: Management (Graduate Studies)
This course is not offered this catalogue year.
Description
Studies in empirical asset pricing literature including time-series return predictability, cross-sectional market anomalies, tests of single- and multi-factor risk-return models, consumption-based asset pricing, fund performance evaluation and asset pricing issues in behavioural finance. Methodological aspects of empirical asset pricing research, such as the concept of stochastic discount factor (SDF), GMM-based estimation of parameters of asset pricing models, and modern mean-variance efficiency bounds.
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