KTTS4190 Empirical Analysis in Asset Pricing (5 op)

Opinnon taso:
Syventävät opinnot
Arviointiasteikko:
0-5
Suorituskieli:
englanti
Vastuuorganisaatio:
Jyväskylän yliopiston kauppakorkeakoulu
Opetussuunnitelmakaudet:
2020-2021, 2021-2022, 2022-2023

Kuvaus

The lecture course covers topics of modern portfolio theory. Building on the Capital Asset Pricing Model (CAPM), the course explores the performance of linear factor models often applied in financial economics. Special attention is paid to the popular Fama and French three-factor, five-factor and six-factor models. The models are critically compared and it will be investigated how well they perform in pricing the cross section of expected returns. Moreover, asset pricing anomalies and commonalities across asset pricing anomalies will be explored. In this regard, special attention is paid to explore the momentum anomaly which appears to be of importance across seemingly unrelated asset markets.

Osaamistavoitteet

On successful completion of the course, students will be able to

· evaluate the performance of various empirical asset pricing models used in finance

· test asset pricing models using econometric tests

· critically analyze asset pricing anomalies in the cross section of asset returns

· understand trading strategies implemented as zero-cost portfolios and analyze their performance

· risk-adjust zero-cost portfolios and interpret alphas and factor loadings


Contents of the course are related to the following working life skills (generic skills):

· Analytical and critical thinking.

· Problem-solving.

· Statistical modelling.

· Written communicating skills.

Lisätietoja

Recommended timing for BIF students: 2nd year.
Recommended timing for Finnish M.Sc. degree students: 4rd or 5th year.

Pakolliset esitiedot

Oppimateriaalit

Research papers.
Lecture materials will be provided by the instructor.

Kirjallisuus

  • Asness, C.S., Moskowitz, T.J., Pedersen L.H., 2013, Value and Momentum Everywhere, Journal of Finance 68, 929-985.
  • Daniel, K., T. Moskowitz, 2016, Momentum crashes, Journal of Financial Economics 122, 221–247.
  • Hou, K., C. Xue, L.Zhang, 2018, Replicating anomalies, Review of Financial Studies 32, 1–115.
  • Jegadeesh, N., and S. Titman, 1993. Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65–91.
  • Fama, E. F., K. F. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3–56.
  • Fama, E., French, K.R., 2015. A Five-Factor Asset Pricing Model, Journal of Financial Economics 116, 1-22.
  • Fama, E., French, K.R., 2017. International Tests of A Five-Factor Asset Pricing Model, Journal of Financial Economics 123, 441-463.
  • Fama, E., French, K.R., 2018. Choosing Factors, Journal of Financial Economics 128, 234-252.
  • Moreira, A., T. Muir, 2017, Volatility managed portfolios, Journal of Finance 72, 1611-1644.
  • Wahal, S., 2019, The profitability and investment premium: Pre-1963 evidence. Journal of Financial Economics 131, 362–377.

Suoritustavat

Tapa 1

Arviointiperusteet:
Independent home assignments.
Opetusajankohta:
Periodi 2
Valitaan kaikki merkityt osat
Suoritustapojen osat
x

Osallistuminen opetukseen (5 op)

Tyyppi:
Osallistuminen opetukseen
Arviointiasteikko:
0-5
Suorituskieli:
englanti

Opetus