BE352-7-AU-CO:
Asset Pricing

The details
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)

Key module for

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

Module description

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.

Module aims

The aim of this module is:



  • To provide a formal introduction to asset pricing theories and to critically discuss empirical findings in asset pricing.

Module learning outcomes

By the end of this module, students will be expected to be able to:



  1. Explain and solve problems related to expected utility representations, asset allocation, and risk aversion.

  2. Explain and solve problems related to state price representations, pricing kernels, and risk-neutral valuation.

  3. Explain and solve problems related to the CAPM and the APT.

  4. Critically discuss empirical studies in asset pricing.

Module information

Skills for Your Professional Life (Transferable Skills) 


This module will help you with the following transferable skills:



  1. Ability to interpret empirical statistical and econometric research results.

  2. Ability to critically evaluate asset pricing models.

  3. Literacy and numeracy skills.

  4. Ability to develop your personal plan of setting targets and time management to undertake coursework and exam.

Learning and teaching methods

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.

Bibliography

This module does not appear to have a published bibliography for this year.

Assessment items, weightings and deadlines

Coursework / exam Description Deadline Coursework weighting
Coursework   2,000 word essay   25/01/2024  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

Coursework Exam
100% 0%

Reassessment

Coursework Exam
100% 0%
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

 

Availability
Yes
No
Yes

External examiner

Dr Nikolaos Voukelatos
University of Kent
Senior Lecturer in Finance
Resources
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.

 

Further information
Essex Business School

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