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Näytä opetus ja tentit
721383S Asset Pricing, 6 op 
Tunniste 721383S  Voimassaolo 01.08.2008 -
Nimi Asset Pricing  Lyhenne Asset Pricing 
Laajuus6 op   
OpiskelumuotoSyventävät opinnot Oppiaine6354 Rahoitus 
LajiOpintojakso   
  Arvostelu1 - 5, hyv, hyl 
 
   
Vastuuyksikkö Oulun yliopiston kauppakorkeakoulu 

Opettajat
Nimi
Asif Ruman 

Kuvaus
Laajuus 

6 credits

 
Opetuskieli 

English

 
Ajoitus 

Period 3 (1st year)

 
Osaamistavoitteet 

Upon completion of the course, students understand the foundations of asset pricing theory, empirical tests of asset pricing models, multi-factor asset pricing models, the stylized facts about stock returns.

 
Sisältö 

Capital asset pricing model (CAPM) and its drawbacks, state pricing, stochastic discount factor, utility theory and risk aversion, consumption-based model, beta representation, ICAPM, Arbitrage pricing theory, regression-based tests of linear factor models, portfolio sorts, anomalies, multi-factor explanations, the cross-section of stock returns, time-series predictability of stock returns.

 
Järjestämistapa 

Face-to-face teaching.

 
Toteutustavat 

36 hours of lectures, including class exercises. Students also engage in a group project in which they present assigned topic and write learning diaries for other presented topics.

 
Kohderyhmä 

Students of the Master’s program in Finance

 
Esitietovaatimukset 

Fundamentals of Finance, Principles of Econometrics and Mathematical Economics (Recommended)

 
Yhteydet muihin opintojaksoihin 

-

 
Oppimateriaali 

The main readings include the lecture notes, a selected set of scientific articles, and other course material which will be distributed during the course. The companion books are the followings:

·         Cochrane, John H. Asset pricing. ( target=_blank>https://oula.finna.fi/Record/oula.875857)

·         Munk, Claus. Financial asset pricing theory. ( target=_blank>https://oula.finna.fi/Record/oula.1231595)

Bali, Turan G., Robert F. Engle, and Scott Murray. Empirical asset pricing: the cross section of stock returns. John Wiley & Sons, 2016. ( target=_blank>https://oula.finna.fi/Record/oula.1652146)

 
Suoritustavat ja arviointikriteerit 

The final evaluation is based on the group presentation, reflections, classroom assignments, final exam, as well as other class activities.

 
Arviointiasteikko 

The course utilizes a numerical grading scale 1-5. In the numerical scale zero stands for a fail.

 
Vastuuhenkilö 

Asif Ruman

 
Työelämäyhteistyö 

The knowledge of the theoretical and empirical foundations of asset pricing models enables the student to implement different financial models for practical decision making.

 
Lisätiedot 

The number of students is limited.

 


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