Postgraduate Course: Empirical Asset Pricing (CMSE11509)
Course Outline
| School | Business School |
College | College of Arts, Humanities and Social Sciences |
| Credit level (Normal year taken) | SCQF Level 11 (Postgraduate) |
Availability | Available to all students |
| SCQF Credits | 20 |
ECTS Credits | 10 |
| Summary | This course covers a range of empirical studies of financial markets. The primary emphasis is on the asset pricing literature. The topics in this area include time-series return predictability, cross-sectional market anomalies, tests of single- and multi-factor risk-return models, consumption-based asset pricing. Other related areas, such as fund performance evaluation will be discussed as well.
The course covers several methodological aspects in empirical asset pricing such as the concept of stochastic discount factor (SDF), GMM-based estimation of parameters of asset pricing models, and modern mean-variance efficiency bounds. Most of asset pricing tests will be performed in both unconditional and conditional settings. |
| Course description |
- Introduction
- Generalized Method of Moments
- Time-Series Dynamics of Asset Returns
- Tests of CAPM
- Cross-Sectional Return Anomalies
- Tests of APT
- The Factor Zoo
- Machine Learning in Asset Pricing
- Tests of Consumption CAPMs
- Fund Performance Evaluation
|
Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
|
Co-requisites | |
| Prohibited Combinations | |
Other requirements | Students joining should have successfully completed Introductory Financial Economics and Econometrics courses. Those from other quantitative backgrounds could be considered following discussion and approval by the course organiser. |
Information for Visiting Students
| Pre-requisites | None |
| High Demand Course? |
Yes |
Course Delivery Information
|
| Academic year 2025/26, Available to all students (SV1)
|
Quota: None |
| Course Start |
Semester 2 |
Timetable |
Timetable |
| Learning and Teaching activities (Further Info) |
Total Hours:
200
(
Lecture Hours 20,
Seminar/Tutorial Hours 2,
Programme Level Learning and Teaching Hours 4,
Directed Learning and Independent Learning Hours
174 )
|
| Assessment (Further Info) |
Written Exam
0 %,
Coursework
75 %,
Practical Exam
25 %
|
| Additional Information (Assessment) |
75% coursework (individual)
Consists of three assignments:
- two applications of specific individual empirical methods learned in the course (15% each)
- one consisting of a replication/reproduction of a published article (45%)
Students may use any common statistical software or programming language upon agreement with the course organiser.
25% practical (individual)
- Presentation of a research paper |
| Feedback |
Formative feedback: TBC
Summative feedback: Detailed feedback will be provided to students following all three different forms of assessment. |
| No Exam Information |
Learning Outcomes
On completion of this course, the student will be able to:
- Understand and critically evaluate empirical asset pricing studies in finance.
- Develop methodological skills that you could efficiently use in their own research.
|
Reading List
Readings will consist of chapters from the following books. In addition, articles on the topics covered in this course will be assigned.
Cochrane, J., 2005, Asset Pricing, Princeton University Press.
Ferson, W., 2019, Empirical Asset Pricing: Models and Methods, MIT Press.
Campbell, J., 2017, Financial Decisions and Markets: A Course in Asset Pricing, Princeton University Press.
Nagel, S., 2021, Machine Learning in Asset Pricing (Princeton Lectures in Finance), Princeton University Press.
|
Additional Information
| Graduate Attributes and Skills |
1. Understand and critically evaluate empirical studies in finance.
2. Develop methodological skills that you could efficiently use in your own research. |
| Keywords | Not entered |
Contacts
| Course organiser | Dr Christian Westheide
Tel:
Email: cwesthei@ed.ac.uk |
Course secretary | Ms Erin Robbins
Tel:
Email: Erin.Robbins@ed.ac.uk |
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