Essex Business School
Postgraduate: Level 7
Thursday 03 October 2019
Saturday 14 December 2019
24 September 2019
Requisites for this module
MSC N30012 Finance,
MSC L11412 Financial Econometrics,
MSC N34212 Financial Engineering and Risk Management,
PHD N30048 Finance
The 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.
On successful completion of the module, students will 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)
The 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
No additional information available.
There is a two-hour lecture each week and a one-hour class.
- Pennacchi, George Gaetano. (c2008) Theory of asset pricing, Boston: Pearson/Addison-Wesley. vol. The Addison-Wesley series in finance
- Pennacchi, George. (2007) Theory of Asset Pricing: Pearson Education (US).
- Amihud, Yakov. (2002) 'Illiquidity and stock returns: cross-section and time-series effects ?', in Journal of Financial Markets. vol. 5 (1) , pp.31-56
- Jagannathan, Ravi; Wang, Yong. (2007) 'Lazy Investors, Discretionary Consumption, and the Cross-Section of Stock Returns', in The Journal of Finance. vol. 62 (4) , pp.1623-1661
- Mehra, Rajnish. (1985) 'The equity premium: A puzzle', in Journal of Monetary Economics. vol. 15 (2) , pp.145-161
- Luboš Pástor; Robert F. Stambaugh. (2003) 'Liquidity Risk and Expected Stock Returns', in Journal of Political Economy. vol. 111 (3) , pp.642-685
- Eugene F. Fama; Kenneth R. French. (1992) 'The Cross-Section of Expected Stock Returns', in Journal of Finance. vol. 47 (2) , pp.427-465
- John Y. Campbell. (1996) 'Understanding risk and return', in Journal of Political Economy. vol. 104 (2) , pp.298-345
- Roll, Richard. (March 1977) 'A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory', in Journal of Financial Economics. vol. 4 (2) , pp.129-176
- Daniel Kent; Sheridan Titman. (1997) 'Evidence on the Characteristics of Cross Sectional Variation in Stock Returns', in Journal of Finance. vol. 52 (1) , pp.1-33
- Ang, Andrew. (January 2009) 'High idiosyncratic volatility and low returns: International and further U.S. evidence ?', in Journal of Financial Economics. vol. 91 (1) , pp.1-23
- Martin Lettau; Sydney Ludvigson. (2001) 'Consumption, Aggregate Wealth, and Expected Stock Returns.', in Journal of Finance. vol. 56 (3) , pp.815-849
- John Y. Campbell; Robert J. Schiller. (1988) 'The dividend-price ratio and expectations of future dividends and discount factors', in Review of Financial Studies. vol. 1 (3) , pp.195-228
- Andrew Ang; Geert Bekaert. (2007) 'Stock Return Predictability: Is it There?', in Review of Financial Studies. vol. 20 (3) , pp.651-707
- Robert F. Stambaugh; Jianfeng Yu; Yu Yuan. (2015) 'Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle', in The Journal of Finance: Wiley. vol. 70 (5) , pp.1903-1948
- Eugene F. Fama; Kenneth R. French. (1996) 'Multifactor Explanations of Asset Pricing Anomalies', in Journal of Finance. vol. 51 (1) , pp.55-84
- John Y. Campbell; Tuomo Vuolteenaho. (2004) 'Bad Beta, Good Beta', in American Economic Review. vol. 94 (5) , pp.1249-1275
- Brennan, Michael J.; Wang, Ashley W.; Xia, Yihong. (2004) 'Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing', in The Journal of Finance. vol. 59 (4) , pp.1743-1776
- Geert Bekaert; Campbell R. Harvey; Christian Lundblad. (2007) 'Liquidity and Expected Returns: Lessons from Emerging Markets', in Review of Financial Studies. vol. 20 (6) , pp.1783-1831
- Ang, Andrew; Hodrick, Robert J.; Xing, Yuhang; Zhang, Xiaoyan. (2006) 'The Cross-Section of Volatility and Expected Returns', in The Journal of Finance. vol. 61 (1) , pp.259-299
- Ang, Andrew. (2007) 'CAPM over the long run: 1926–2001', in Journal of Empirical Finance. vol. 14 (1) , pp.1-40
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
||2,000 word essay
||Quiz (In-class Activity)
||120 minutes during Summer (Main Period) (Main)
Module supervisor and teaching staff
Dr Liya Shen, email: email@example.com.
Dr Liya Shen
Prof Donal Gregory McKillop
Queen’s University Belfast
Professor of Financial Services
Available via Moodle
Of 32 hours, 32 (100%) hours available to students:
0 hours not recorded due to service coverage or fault;
0 hours not recorded due to opt-out by lecturer(s).
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