This course focuses on the estimation and evaluation of asset pricing models. The ultimate goal of the course is to help students develop a love and appreciation for Finance. We will cover equity, fixed-income, currency and derivatives. Our approach is to integrate economic insights and empirical data with the help of econometric tools. In addition to theory, data, and tools, we will also pay attention to how financial markets and financial institutions function in the real world. Special attention will also be given to the Chinese markets.
Taking the empirical asset pricing class as a first-year PhD student was the best experience in my entire PhD career. The realization that real-world financial data contains information about risk aversion, a concept exists only in the abstract, made a strong impression on me. By today's standard, it may sound incredibly naive, but it was truly an eye-opening moment. Once the door was open, learning about the financial markets and extracting information from the data became something I really enjoyed doing. My academic career has its ups and downs, but knowing that the markets will always be there is a comforting thought. I might take issues with the current status of our field of asset pricing. There were also times when I came out of Finance seminars, feeling thoroughly uninspired. But the markets and their endless uncertainties always managed to pick me up, pushing me to pay attention to a world that is much larger than my immediate surroundings. So it gives me joy to teach this class, to share with you why studying financial markets -- big or small, young or mature, calm or volatile -- can be as interesting as reading novels, playing video games, or watching movies. Put aside your cynicism, and give yourself the opportunity to be awed. It is only 6 weeks, 12 days, and 24 classes, after which, you can go back to where you were before.
Notes and Slides
- Week 1: Structural Estimations Notes Slides 1 Slides 2 Slides 3 Discussions
- Week 2: Cross-Sectional Estimations Notes Slides 1 Slides 2 Discussions
- Week 3: Global Financial Markets
- Week 4: Macro and Asset Pricing Slides
- Week 5: Microstructure and Asset Pricing Slides
- Week 6: Household Finance Slides