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Module Catalogue

IB9CK-12 Asset Pricing II

Department
Warwick Business School
Level
Taught Postgraduate Level
Module leader
Arie Gozluklu
Credit value
12
Module duration
10 weeks
Assessment
100% coursework
Study location
University of Warwick main campus, Coventry

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Introductory description

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Module aims

This course is the second of the two courses that examines asset pricing. We will focus on the development of stylized facts and tools for the investigation of financial data. The objective of this module is to introduce PhD candidates in Finance to standard tools and recent developments at the intersection of empirical asset pricing and macroeconomics. We will investigate both time-series properties of asset returns (e.g., predictability) and cross-sectional facts of asset returns implied by asset pricing models. We will also cover fixed income markets, fund industry, currency and commodity markets. We will also examine inter-temporal hedging demand and decisions related to household finance as well as friction-based asset pricing.

Outline syllabus

This is an indicative module outline only to give an indication of the sort of topics that may be covered. Actual sessions held may differ.

  1. Equity premium, efficiency and (Time-series) Predictability
  2. Fixed Income, term structure models, monetary policy and asset price
  3. Fund industry: mutual funds skill, ETFs, hedge funds, pension funds and REITs
  4. Inter-temporal hedging, household finance, housing decisions
  5. Currencies and commodities
  6. Friction-based asset pricing

Learning outcomes

By the end of the module, students should be able to:

  • Understand the stylized facts and basic tools in conducting the empirical finance research
  • Understand the empirical tests of asset pricing models
  • Recognize and understand the issue of endogeneity
  • Understand Event-Study methodology
  • Build up a clear understanding of empirical finance literature
  • Implement the empirical methods in research
  • Develop skills in identifying research questions and analysing these questions
  • Use the computing system for PhDs in Finance provided by WBS, including software packages such as MatLab, SAS, Stata and Stat-Transfer as well as LaTeX

Indicative reading list

Reading lists can be found in Talis

Subject specific skills

Recognize and understand the issue of endogeneity.
Understand Event-Study methodology
Build up a clear understanding of empirical finance literature
Implement the empirical methods in research

Transferable skills

Use the computing system for PhDs in Finance provided by WBS, including software packages such as MatLab,
SAS, Stata and Stat-Transfer as well as LaTeX

Study time

Type Required
Lectures 10 sessions of 3 hours (45%)
Private study 36 hours (55%)
Total 66 hours

Private study description

No private study requirements defined for this module.

Costs

No further costs have been identified for this module.

You do not need to pass all assessment components to pass the module.

Assessment group A
Weighting Study time Eligible for self-certification
Assessment component
Research Report (12 CATS) 50% 27 hours Yes (extension)

2500 word research report no.1
Reassessment component is the same
Assessment component
Research Report (12 CATS) 50% 27 hours Yes (extension)

2500 word research report no.2
Reassessment component is the same
Feedback on assessment

Feedback provided via my.wbs

There is currently no information about the courses for which this module is core or optional.