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Asset Pricing - ECO00113M

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  • Department: Economics and Related Studies
  • Module co-ordinator: Prof. Peter Smith
  • Credit value: 20 credits
  • Credit level: M
  • Academic year of delivery: 2023-24
    • See module specification for other years: 2024-25

Module summary

To provide an advanced treatment of modern asset pricing theory for economists with a technical training. We will focus on both theoretical issues and discuss the empirical performance of these different models. Topics and teachers may change from year to year.

Module will run

Occurrence Teaching period
A Semester 2 2023-24

Module aims

The module extends students knowledge of the core elements of modern finance theory and empirical practice. Focus will be on a range of topics that will be examined in depth.

Module learning outcomes

  • A good grasp of elements of the research frontier in asset pricing.

  • An ability to carry out a short project or solve a set of problems which demonstrate their understanding of the key research issues

  • To provide research students with the capacities and knowledge necessary to understand and undertake research in finance in preparation for writing their thesis.

Assessment

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

Special assessment rules

None

Additional assessment information

100% Coursework choice of (a) 5-page report on an empirical project or (b) solutions to theoretical problems to be completed at the end of the semester.

Reassessment

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

Module feedback

Feedback will be provided in line with University policy

Indicative reading

J. Campbell, (2018) Financial Decisions and Markets, Princeton University Press.

J. Cochrane, (2005) Asset Pricing, Princeton University Press.

J Campbell, A Lo and MacKinlay, (1996) The Econometrics of Financial Markets, Princeton University Press.


The information on this page is indicative of the module that is currently on offer. The University is constantly exploring 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 by the University. Where appropriate, the University will notify and consult with affected students in advance about any changes that are required in line with the University's policy on the Approval of Modifications to Existing Taught Programmes of Study.