Asset Pricing: Theoretical Foundations (HEC)
Enseignant
Crédits ECTS :
4
Heures de cours :
24
Heures de TD :
0
Langue :
Anglais
Modalité d'examen :
écrit+CC
Objectif
This course is an introduction to the modern theory of asset pricing and portfolio theory. It develops foundations for more specialized courses on securities valuation (e.g., derivatives pricing, continuous time finance, empirical estimation of asset pricing models, market microstructure, limits to arbitrage, behavioral finance etc...). Topics covered include (i) CAPM, mean variance analysis, CCAPM, Arrow Debreu pricing, factor pricing, arbitrage, (ii) pricing anomalies, (iii) asymmetric information and asset pricing, and (iv) liquidity and asset pricing.
Plan
Part 1:Economic Foundation, ArrowDebreu model, Risk sharing, Stochastic Discount Factor and risk neutral probabilities, Consumption based asset pricing
Part 2: Mean variance analysis and the CAPM, Efficient frontier, Sharpe ratios, CAPM
Part 3: Factor Pricing Models and Pricing Anomalies, Factor pricing models, Pricing anomalies and alphas, Liquidity and asset prices Part 4: Intertemporal models, Present value relationships , Excess volatility, Asset pricing puzzles
Part 5: Asymmetric Information and Liquidity, Rational expectations equilibria , Adverse selection and liquidity Value of information in securities markets ? Liquidity and asset prices