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Regular version of the site
Master 2019/2020

Research Seminar "Asset Pricing"

Type: Elective course (Strategic Corporate Finance)
Area of studies: Finance and Credit
Delivered by: School of Finance
When: 2 year, 1-3 module
Mode of studies: Full time
Master’s programme: Strategic Corporate Finance
Language: English
ECTS credits: 7

Course Syllabus

Abstract

The series of research seminars covers diverse issues, both topical and trending, in the area of asset pricing and asset allocation. The area is an integral part of finance science and practice and it has been continuously evolving due to exciting innovations. Therefore, it is utterly important to be confident in understanding the function of asset pricing and asset allocation at an advanced level. The series of research seminars provides a good opportunity for students to focus (in addition to corporate finance) on dealing with securities markets that will make their future career path more flexible.
Learning Objectives

Learning Objectives

  • To help students to understand the way asset pricing and asset allocation models work and the rationale they are based on; the way complex assets are designed and the role they play in trading strategies;
  • To encourage students to commence an independent research project: identification and clarification of the research question, accumulation of relevant arguments and views reported in the literature;
  • To encourage students to proceed with their independent research project: reflect on potential pitfalls, specify empirical testing procedures, draw meaningful conclusions; critically evaluate academic articles and formulate a feedback.
Expected Learning Outcomes

Expected Learning Outcomes

  • Technical skills required to advance in the practice of model-building and to perform selected empirical testing (copula modelling, cointegration techniques, etc.)
  • Analytical skills required to perform elaborate analysis of the actual state and emerging trends in asset pricing and asset allocation
  • Academic skills required to complete their independent research project (writing in a scholarly style) and value-added skills required to successfully defence it (delivering engaging presentations, communicating effectively with an audience, etc.)
Course Contents

Course Contents

  • Advanced and ethical bond market
  • Investment styles
  • Equilibrium models and arbitrage-free models
  • Sources of systematic and unsystematic influence
  • Empirical testing frameworks
Assessment Elements

Assessment Elements

  • non-blocking Report preparation and delivery
    If a student fails to give a presentation and has a good excuse, weights in the definitive grade for this student will be fairly adjusted. A good excuse is a documented medical emergency. If a student fails to give a presentation and does not have a good excuse, this student will get the null grade for this work. If a student is late for more than 15 minutes with his/her presentation, this student will get a null grade for the presentation.
  • non-blocking Test
    If a student misses the test and has a good excuse, weights in the definitive grade for this student will be fairly adjusted. A good excuse is a documented medical emergency. If a student misses the test and does not have a good excuse, this student will get the null grade for this work.
  • non-blocking Report on dissertation progress
    If a student fails to give a presentation and has a good excuse, weights in the definitive grade for this student will be fairly adjusted. A good excuse is a documented medical emergency. If a student fails to give a presentation and does not have a good excuse, this student will get the null grade for this work. If a student is late for more than 15 minutes with his/her presentation, this student will get a null grade for the presentation.
Interim Assessment

Interim Assessment

  • Interim assessment (3 module)
    0.33 * Report on dissertation progress + 0.33 * Report preparation and delivery + 0.34 * Test
Bibliography

Bibliography

Recommended Core Bibliography

  • Cochrane, J. H. (2000). Asset Pricing. NBER Reporter, 1. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=bsu&AN=4064898
  • Cochrane, J. H. (2005). Asset Pricing (Vol. Rev. ed). Princeton, N.J.: Princeton University Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=329716

Recommended Additional Bibliography

  • Maginn, J. L. (2007). Managing Investment Portfolios Workbook : A Dynamic Process: Vol. 3rd ed. Wiley.