Course: Asset Pricing

Professor: Julien Penasse

ECTS: 1

Aims:

This Ph.D. course introduces students to the theoretical and empirical literature on asset pricing. Asset pricing is the study of asset prices over time (why do prices move so much over time?) and on average (why do some assets deliver higher average returns?). Understanding asset prices is important for policy makers, bankers, and the general public. This course covers selected topics in asset pricing with an emphasis on linking asset prices to macroeconomic outcomes (aka macrofinance). As such, the class will begin by linking asset prices to the theory of consumption in dynamic representative agent models. We will then cover the basic consumption asset pricing model (i.e. power-utility, i.i.d. lognormal consumption growth, representative agent). This basic model is at odds with a number of key empirical regularities, which motivates richer models featuring different time series processes for consumption, different preferences, etc. We will cover some implications of these models for equity prices, but also for bonds, and currencies. The class will also provide opportunities for student to receive feedback on their own ideas, as well as help them work on their presentation skills.

Learning Objectives:

Students who successfully complete this course will have a thorough understanding of both classic and current research in asset pricing. They will be able to read, understand and replicate cutting-edge research papers in the subject, as well as evaluate their respective contributions. They will understand what questions researchers find interesting and why and how to find ideas on their own. Finally, they will know how to use the ideas and techniques in their own research.

Registration & Practical Information: Soon available on Moodle.