Spring 2004
This Ph.D.-level course is an introduction to
modern asset-pricing theory. We will develop the consumption-based asset
pricing model, and portfolio-based models (CAPM, ICAPM, APT, CCAPM) as special
cases. We will discuss methods of estimating and evaluating asset pricing
models, fixed-income and derivatives pricing, and survey current asset pricing
empirical work. The principle texts used in the course are Asset Pricing
(AP) by John Cochrane, and The Econometrics of Financial Markets (EFM)
by John Campbell, Andrew Lo, and Craig MacKinlay. The point of the course is to
develop the unified framework for asset pricing theory that pervades modern
applications in research. Grades will be based on homework (30%), class
participation (10%), and a final examination (60%).
Problem set 1 Problem set 1 answers (password needed)
i.
Peso Problems: Their Theoretical
and Empirical Implications (Evans)
i.
Prices as Factors: Approximate
Aggregation with Incomplete Markets (Telmer and Zin)
i.
Order flow and Exchange Rate Dynamics (Evans and
Lyons)