EMPIRICAL ASSET PRICING
- Anno accademico
- 2025/2026 Programmi anni precedenti
- Titolo corso in inglese
- EMPIRICAL ASSET PRICING
- Codice insegnamento
- PHD211 (AF:585619 AR:331913)
- Lingua di insegnamento
- Inglese
- Modalità
- In presenza
- Crediti formativi universitari
- 6
- Livello laurea
- Corso di Dottorato (D.M.226/2021)
- Settore scientifico disciplinare
- SECS-P/02
- Periodo
- I Semestre
- Anno corso
- 1
- Sede
- VENEZIA
- Spazio Moodle
- Link allo spazio del corso
Inquadramento dell'insegnamento nel percorso del corso di studio
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.
Risultati di apprendimento attesi
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
- 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
Prerequisiti
First year courses of the macro and metrics sequence
Contenuti
- Consumption-based asset pricing
- CAPM, factor pricing models, APT
- Investment-based asset pricing
- Testing asset pricing models
- More specialized topics (e.g., intermediary asset pricing, the role of labor for asset prices)
- CAPM, factor pricing models, APT
- Investment-based asset pricing
- Testing asset pricing models
- More specialized topics (e.g., intermediary asset pricing, the role of labor for asset prices)
Testi di riferimento
- 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
- Ferson, Wayne. Empirical Asset Pricing: Models and Methods. MIT Press, 2019
- Selected academic papers
Modalità di verifica dell'apprendimento
The final grade is based on:
- report and presentation in class on a research paper (individual assignment)
- empirical project (group assignment)
- report and presentation in class on a research paper (individual assignment)
- empirical project (group assignment)
Modalità di esame
scritto e orale
Il/la docente ha il dovere di vigilare affinché siano rispettate le regole di autenticità e originalità delle prove d'esame. Di conseguenza, nei casi in cui vi sia il sospetto di un comportamento irregolare, l'esame può prevedere un ulteriore approfondimento, contestuale alla prova d'esame, che potrà essere realizzato anche in modalità differente rispetto alle modalità sopra riportate.
Graduazione dei voti
The grading scale ranges from A+ to D.
Metodi didattici
The course is based on lectures, tutorial sessions, and discussions.
Programma definitivo.
Data ultima modifica programma: 26/02/2025