BE352-7-AU-CO:
Asset Pricing
2023/24
Essex Business School
Colchester Campus
Autumn
Postgraduate: Level 7
Current
Thursday 05 October 2023
Friday 15 December 2023
20
14 July 2023
Requisites for this module
(none)
(none)
(none)
(none)
(none)
MRESN30012 Finance,
MSC N30012 Finance,
MSC N30024 Finance,
MSC L11412 Financial Econometrics,
MSC N34212 Financial Engineering and Risk Management,
MSC N34224 Financial Engineering and Risk Management,
MPHDN30048 Finance,
MPHDN30084 Finance,
PHD N30048 Finance,
PHD N30084 Finance
This module has two parts: theoretical and empirical parts. It will first review the fundamental theories of asset pricing including the expected utility, risk aversion, portfolio choice, asset pricing kernels, and risk-neutral valuation. The second part of the module will discuss some empirical asset pricing studies.
The aim of this module is:
- To provide a formal introduction to asset pricing theories and to critically discuss empirical findings in asset pricing.
By the end of this module, students will be expected to be able to:
- Explain and solve problems related to expected utility representations, asset allocation, and risk aversion.
- Explain and solve problems related to state price representations, pricing kernels, and risk-neutral valuation.
- Explain and solve problems related to the CAPM and the APT.
- Critically discuss empirical studies in asset pricing.
Skills for Your Professional Life (Transferable Skills)
This module will help you with the following transferable skills:
- Ability to interpret empirical statistical and econometric research results.
- Ability to critically evaluate asset pricing models.
- Literacy and numeracy skills.
- Ability to develop your personal plan of setting targets and time management to undertake coursework and exam.
This module will be delivered via:
- One 2-hour lecture per week.
- Five 1-hour seminars per fortnight.
- Five 1-hour computer lab sessions per fortnight.
The computer lab sessions involve practice using MATLAB.
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Levy, H. (2012)
The capital asset pricing model in the 21st century: analytical, empirical, and behavioral perspectives. New York: Cambridge University Press. Available at:
http://www.vlebooks.com/vleweb/product/openreader?id=essexacuk&accId=7572256&isbn=9781139183567.
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Bali, T.G., Engle, R.F. and Murray, S. (2016b)
Empirical asset pricing: the cross section of stock returns. Hoboken, New Jersey: John Wiley and Sons, Inc. Available at:
https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=1193806.
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Cochrane, J.H. (2005a)
Asset pricing. Rev. ed. Princeton, N.J.: Princeton University Press. Available at:
https://search.ebscohost.com/login.aspx?direct=true&db=nlebk&AN=329716.
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Pennacchi, G.G. (2008a) Theory of asset pricing. Boston: Pearson/Addison-Wesley.
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Pennacchi, G. (2007b) Theory of Asset Pricing. Pearson Education (US).
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Pennacchi, G.G. (2008b) Theory of asset pricing. Boston: Pearson/Addison-Wesley.
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Pennacchi, G.G. (2008d) Theory of asset pricing. Boston: Pearson/Addison-Wesley.
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Roll, R. (no date) ‘A critique of the asset pricing theory’s tests Part I: On past and potential testability of the theory’,
Journal of Financial Economics, 4(2), pp. 129–176. Available at:
https://www.sciencedirect.com/science/article/pii/0304405X77900095.
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Cochrane, J.H. (2005d)
Asset pricing. Rev. ed. Princeton, N.J.: Princeton University Press. Available at:
https://search.ebscohost.com/login.aspx?direct=true&db=nlebk&AN=329716.
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Cochrane, J.H. (no date b) ‘Presidential Address: Discount Rates.’ Available at:
https://doi.org/10.1111/j.1540-6261.2011.01671.x.
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John Y. Campbell and Robert J. Schiller (1988) ‘The dividend-price ratio and expectations of future dividends and discount factors’,
Review of Financial Studies, 1(3), pp. 195–228. Available at:
https://doi.org/10.1093/rfs/1.3.195.
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Andrew Ang and Geert Bekaert (2007) ‘Stock Return Predictability: Is it There?’,
Review of Financial Studies, 20(3), pp. 651–707. Available at:
https://doi.org/10.1093/rfs/hhl021.
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Martin Lettau and Sydney Ludvigson (2001) ‘Consumption, Aggregate Wealth, and Expected Stock Returns.’,
Journal of Finance, 56(3), pp. 815–849. Available at:
https://search.ebscohost.com/login.aspx?direct=true&db=bsu&AN=4673636&site=ehost-live.
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Ang, A.
et al. (2006) ‘The Cross-Section of Volatility and Expected Returns’,
The Journal of Finance, 61(1), pp. 259–299. Available at:
https://doi.org/10.1111/j.1540-6261.2006.00836.x.
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Ang, A. (no date) ‘High idiosyncratic volatility and low returns: International and further U.S. evidence ?’,
Journal of Financial Economics, 91(1), pp. 1–23. Available at:
https://www.sciencedirect.com/science/article/pii/S0304405X08001542.
The above list is indicative of the essential reading for the course.
The library makes provision for all reading list items, with digital provision where possible, and these resources are shared between students.
Further reading can be obtained from this module's
reading list.
Assessment items, weightings and deadlines
| Coursework / exam |
Description |
Deadline |
Coursework weighting |
| Coursework |
2,000 word essay |
|
50% |
| Practical |
In-class Test |
|
50% |
Exam format definitions
- Remote, open book: Your exam will take place remotely via an online learning platform. You may refer to any physical or electronic materials during the exam.
- In-person, open book: Your exam will take place on campus under invigilation. You may refer to any physical materials such as paper study notes or a textbook during the exam. Electronic devices may not be used in the exam.
- In-person, open book (restricted): The exam will take place on campus under invigilation. You may refer only to specific physical materials such as a named textbook during the exam. Permitted materials will be specified by your department. Electronic devices may not be used in the exam.
- In-person, closed book: The exam will take place on campus under invigilation. You may not refer to any physical materials or electronic devices during the exam. There may be times when a paper dictionary,
for example, may be permitted in an otherwise closed book exam. Any exceptions will be specified by your department.
Your department will provide further guidance before your exams.
Overall assessment
Reassessment
Module supervisor and teaching staff
Dr Lazaros Symeonidis, email: l.symeonidis@essex.ac.uk.
Dr Lazaros Symeonidis & Dr Liya Shen
E: ebspgtad@essex.ac.uk
Yes
No
Yes
Dr Nikolaos Voukelatos
University of Kent
Senior Lecturer in Finance
Available via Moodle
Of 37 hours, 34 (91.9%) hours available to students:
0 hours not recorded due to service coverage or fault;
3 hours not recorded due to opt-out by lecturer(s), module, or event type.
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