This course is intended for PhD students in finance and related fields. It is designed to teach students how to conduct empirical research in asset pricing. The goal is that students become familiar with the issues at stake in empirical asset pricing, the methodologies used, the classic papers as well as the recent contributions, and be able to analyze and evaluate new research effectively. Finally, students are expected to acquire the skills to conduct and present original empirical research in finance.

Material from three texbooks will be used thoughout the course:

[CLM} John Y. Campbell, Andrew W. Lo and A. Craig MacKinlay, The Econometrics of Financial Markets, Princeton University Press, 1997.

[AP} John Cochrane, Asset Pricing, Princeton University Press, 2001.

[S] Kenneth J. Singleton, Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment, Princeton University Press, 2006.

In addition to the textbooks we will also assign journal articles (most downloadable from JSTOR and/or UNC e-journal links).

Prerequisites are: Econ 770, 771 and Busi 880. This means students must have basic knowledge of financial economics and econometrics at the level of first year PhD courses. Knowledge of the material in Econ 871 (Time Series) is beneficial.

Each class will consist of 2 hours of lectures, followed by one half hour student presentation of a key article related to the topic of the lecture. Students taking the course for credit will be required to present papers and work on the class project.
This is a very demanding course, irrespective of whether you are registered or just auditing. The class project is the following: The Volume 21, Number 4, July 2008 issue of the Review of Financial Studies leads off with an article by Goyal and Welch (2008) arguing that the historical mean has done as well at forecasting the equity premium as any of the more complex empirical models that have been brought to bear on this issue. Various articles in the issue eloborate on their findings. Students taking for credit the class will be required to implement and replicate various empirical results reported in the issue. Class presentations will count for 30 % and the project - which will consist of several assignments - covers the remaining 70 %.