Empirical Asset Pricing (it is strongly advised to have some knowledge in Python for this course)

Crédit : 3 ECTS
Langue du cours : anglais

Volume horaire

• CM : 21 h

Compétences à acquérir

Understanding of theory and empirics of asset pricing research, with a focus on how to bring models to the data.

Description du contenu de l'enseignement

The course will cover the necessary tools in order to conduct independent research in asset pricing, focusing on the relation between theoretical and empirical explanations of prices, and risk. Econometrics, equity returns, return predicability, discount factors, betas, mean-variance frontiers, GMM, testing asset pricing models, the cross-section of expected returns.

Mode de contrôle des connaissances

Homeworks and Participation 30% Final Exam 70%

Pré-requis recommandés

Econometrics, Asset Pricing Theory, Linear Algebra, and Macroeconomics

Enseignant responsable

JUAN FELIPE IMBET JIMENEZ