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 two 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.

Students taking the course for credit will be required to write reports and present papers, accounting for 60% of the grade and take the final exam counting for the remaining 40%.
This is a very demanding course, irrespective of whether you are registered or just auditing. The average student can expect to spend at least 20 hours per week outside of class with assigned readings, reviewing lectures, etc. The following papers will be covered in addition to the textbook material