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Regular version of the site

Research Seminar "Asset Pricing"

2019/2020
Academic Year
ENG
Instruction in English
7
ECTS credits
Delivered at:
School of Finance
Course type:
Elective course
When:
2 year, 1-3 module

Instructors

Программа дисциплины

Аннотация

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.
Цель освоения дисциплины

Цель освоения дисциплины

  • 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.
Результаты освоения дисциплины

Результаты освоения дисциплины

  • 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.)
Содержание учебной дисциплины

Содержание учебной дисциплины

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

Элементы контроля

  • неблокирующий Created with Sketch. 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.
  • неблокирующий Created with Sketch. 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.
  • неблокирующий Created with Sketch. 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.
Промежуточная аттестация

Промежуточная аттестация

  • Промежуточная аттестация (3 модуль)
    0.33 * Report on dissertation progress + 0.33 * Report preparation and delivery + 0.34 * Test
Список литературы

Список литературы

Рекомендуемая основная литература

  • 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
  • Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, (1), 1. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.a.eee.jfinec.v116y2015i1p1.22

Рекомендуемая дополнительная литература

  • Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics, (2), 223. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.a.eee.jfinec.v17y1986i2p223.249
  • Brunnermeier, M. K. (2001). Asset Pricing under Asymmetric Information: Bubbles, Crashes, Technical Analysis, and Herding. Oxford University Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.b.oxp.obooks.9780198296980
  • Eugene F. Fama, & Kenneth R. French. (2004). The Capital Asset Pricing Model: Theory and Evidence. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.D1F2477F