EMPIRICAL ASSET PRICING

Academic year
2026/2027 Syllabus of previous years
Official course title
EMPIRICAL ASSET PRICING
Course code
PHD211 (AF:753809 AR:450100)
Teaching language
English
Modality
On campus classes
ECTS credits
6
Degree level
Corso di Dottorato (D.M.226/2021)
Academic Discipline
ECON-02/A
Period
1st Semester
Course year
1
Where
VENEZIA
This course aims at providing a graduate-level overview of the main research topics in the field of asset pricing and macrofinance. The focus is on the analysis of asset price formation mechanisms and of the interactions between the real economy and asset prices. After the introduction to core, traditional frameworks in asset pricing, the course will then proceed to selected specialized topics from recent research. Students will be introduced to a blend of theory and empirics, with a hands-on approach to data.
Knowledge and skills:
- solid understanding of main asset pricing models
- bringing asset pricing models to data

Application of knowledge and skills:
- deriving empirical predictions from theoretical frameworks
- finding suitable empirical settings to test such predictions
- critically assessing current research in asset pricing
First year courses of the macro and metrics sequence
- Consumption-based asset pricing
- CAPM, factor pricing models, APT
- Testing asset pricing models
- Investment-based asset pricing
- Intermediary asset pricing
- More specialized topics (e.g., , term structure of equity)
- Cochrane, John H. Asset Pricing. Revised Edition. Princeton University Press, 2009
- Ferson, Wayne. Empirical Asset Pricing: Models and Methods. MIT Press, 2019
- Selected academic papers
The final grade is based on:
- report and presentation in class on a research paper (individual assignment)
- empirical project (group assignment)
written and oral

The instructor is responsible for ensuring the authenticity and originality of all examinations and coursework. In cases of suspected academic misconduct, an additional on-site assessment may be required during the exams, which may differ from the standard format.

The grading scale ranges from A+ to D.
The course is based on lectures, tutorial sessions, and discussions.
Definitive programme.
Last update of the programme: 01/04/2026