Topics in Asset Pricing (HEC)


Objectif

The objective of the course is to present recent developments in research on financial markets. The course will systematically combine presentation of theoretical models and empirical tests of the theory. 

Plan

We will cover the following topics:

  1. Market anomalies
  2. Limits to arbitrage
  3. Market timing
  4. Heterogeneous beliefs
  5. Beliefs formation
  6. Market inefficiencies and the real economy

Références

Baker and Wurgler 2013. Behavioral corporate finance: an updated survey. Handbook of the Economics of Finance
Brunnermeier and Oehmke 2013. Bubbles, financial crises, and systemic risk. Handbook of the Economics of Finance
Cochrane 2011. Presidential address: discount rates. Journal of Finance
Gromb and Vayanos 2010. Limits of arbitrage: the state of the theory. Annual Review of Financial Economics
Hong and Stein 2007. Disagreement and the stock market. Journal of Economic Perspectives
Shleifer 2000. Inefficient markets: an introduction to behavioral finance. Oxford University Press