Overview
Finance : Studies in empirical asset pricing literature including time-series return predictability, cross-sectional market anomalies, tests of single- and multi-factor risk-return models, consumption-based asset pricing, fund performance evaluation and asset pricing issues in behavioural finance. Methodological aspects of empirical asset pricing research, such as the concept of stochastic discount factor (SDF), GMM-based estimation of parameters of asset pricing models, and modern mean-variance efficiency bounds.
Terms: Winter 2025
Instructors: Sarkissian, Sergei (Winter)
