Dynamic Asset Pricing
This course explores the interplay between dynamic asset pricing theory, statistical assumptions about sources of risk, and the choice of econometric methods for analysis of asset return data. Therefore, the lectures will be a blend of theory, econometric method, and critical review of empirical studies. Both arbitrage-free and equilibrium preference-based pricing models will be discussed, with particular emphasis given to recent developments and outstanding puzzles in the literature. The prerequisites for F632 are MGTECON 603 - 604, Finance 620, Finance 622, and Finance 625. In particular, I will assume familiarity with dynamic asset pricing theory, at the level of F622; and large-sample theory for least-squares, generalized method-of-moments, and maximum likelihood estimation methods. We will review these methods in the context of specific applications, but this material will not be developed in depth.
This course is an introduction to empirical research in asset pricing. The focus of the course is on the interplay between financial economic theory, econometric method, and that analysis of financial market data. Topics include tests of asset pricing models, return predictability in time-series and cross-section, empirical studies of asset market imperfections, and studies of individual and professional investor behavior. Class discussions will draw on textbooks/monographs and original articles and working papers.
This is the first of our two-course sequence in graduate econometrics. The course covers some of the probabilistic and statistical underpinning of econometrics, and explores in depth the large-sample properties of maximum likelihood estimators.
This course is taught using a ``top-down'' approach in that the large sample properties of estimators are discussed in a relatively general frameworks. Then additional structure is imposed to treat the special cases that are often the focus of traditional econometric textbooks. An attractive feature of a top-down approach is that it facilitates an integrated discussion of economic model specification and econometric method. The interplay between economic theory and the choice of econometric method is one of the central themes of this course. Another is that many (though certainly not all) of the econometric estimators used in empirical economic studies can be viewed as special cases of generalized method-of-moment (GMM) estimators. As such, once we have established the properties of GMM estimators, many of the estimators of models describing economic time series or panels can be treated as special cases.