|Language of instruction
Period 3 (1st year)
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.
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.
|Mode of delivery
|Learning activities and teaching methods
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.
Students of the Master’s program in Finance
|Prerequisites and co-requisites
Fundamentals of Finance, Principles of Econometrics and Mathematical Economics (Recommended)
|Recommended optional programme components
|Recommended or required reading
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)
|Assessment methods and criteria
The final evaluation is based on the group presentation, reflections, classroom assignments, final exam, as well as other class activities.
The course utilizes a numerical grading scale 1-5. In the numerical scale zero stands for a fail.
|Working life cooperation
The knowledge of the theoretical and empirical foundations of asset pricing models enables the student to implement different financial models for practical decision making.
The number of students is limited.