Accessibility statement

Asset Pricing - ECO00073M

« Back to module search

  • Department: Economics and Related Studies
  • Module co-ordinator: Prof. Peter Smith
  • Credit value: 10 credits
  • Credit level: M
  • Academic year of delivery: 2021-22
    • See module specification for other years: 2022-23

Module will run

Occurrence Teaching period
A Autumn Term 2021-22 to Spring Term 2021-22

Module aims

To provide an advanced treatment of modern asset pricing theory for economists with a technical training, building on basic discrete time concepts they are already familiar with like the Stochastic Discount Factor used in modern macroeconomics. This will be based on J. Cochrane, (2005) Asset Pricing Princeton University Press and J Campbell, A Lo and MacKinlay, (1996) The Econometrics of Financial Markets, Princeton University Press. J Hamilton, (1994) Time Series Analysis Princeton University Press offers a very good introduction to stochastic processes, which should be familiar from time series econometrics. We will discuss the empirical performance of these different models.

Module learning outcomes

Information currently unavailable

Indicative assessment

Task Length % of module mark
Essay/coursework
Essay		 N/A 100

Special assessment rules

None

Indicative reassessment

Task Length % of module mark
Essay/coursework
Essay		 N/A 100

Module feedback

Information currently unavailable

Indicative reading

Information currently unavailable


The information on this page is indicative of the module that is currently on offer. The University constantly explores ways to enhance and improve its degree programmes and therefore reserves the right to make variations to the content and method of delivery of modules, and to discontinue modules, if such action is reasonably considered to be necessary. In some instances it may be appropriate for the University to notify and consult with affected students about module changes in accordance with the University's policy on the Approval of Modifications to Existing Taught Programmes of Study.