ICM289-Advanced Finance Theory with Empirical Applications

Module Provider: ICMA Centre
Number of credits: 20 [10 ECTS credits]
Level:7
Terms in which taught: Summer term module
Pre-requisites:
Non-modular pre-requisites:
Co-requisites:
Modules excluded:
Current from: 2021/2

Module Convenor: Dr Marcel Prokopczuk
Email: m.prokopczuk@icmacentre.ac.uk

Type of module:

Summary module description:

• Overview of asset pricing topics, risk aversion and premium


• Stochastic discount factor (SDF)


• Mean-variance and beta pricing


• CAPM and APT


• Contingent claims/Arrow-Debreu securities


• Empirical asset pricing methodologies

Aims:

This module is designed for advanced Master’s students and doctoral students. It has a very high technical content. It aims to equip the students with the foundations of theoretical asset pricing and with the relevant skills for performing empirical tests. The objective of the module is to prepare students to become independent and quality researchers.

Assessable learning outcomes:

Intended learning outcomes:

By the end of this module, students should be able to

• Derive analytically the basics of the consumption-based asset pricing model.


• Demonstrate an understanding of this model.


• Command advanced tools for quality empirical research.


• Appreciate and understand of several seminal research papers

Assessable learning outcomes:

By the end of this module, students should be able to

• Derive analytically the basics of the consumption-based asset pricing model.


• Demonstrate an understanding of this model.


• Command advanced tools for quality empirical research.


• Critically discuss  several seminal research papers.

Additional outcomes:

Outline content:

• Overview of asset pricing topics, risk aversion and premium


• Stochastic discount factor (SDF)


• Mean-variance and beta pricing


• CAPM and APT


• Contingent claims/Arrow-Debreu securities


• Empirical asset pricing methodologies

Brief description of teaching and learning methods:

Lectures cover major theories of asset pricing. It is also discussed, how the theory is empirically implemented and tested.

Contact hours:

	Autumn	Spring	Summer
Lectures			20
Guided independent study:
Revision and preparation			80
Reflection			100
Total hours by term	0	0
Total hours for module	200

Summative Assessment Methods:

Method	Percentage
Written assignment including essay	80
Class test administered by School	20

Summative assessment- Examinations:

One project – submission date will be 6-8 weeks after the final lecture

Summative assessment- Coursework and in-class tests:

One MCQ. 60 Minutes – 1-2 weeks after final lecture

Formative assessment methods:

Penalties for late submission:

The below information applies to students on taught programmes except those on Postgraduate Flexible programmes. Penalties for late submission, and the associated procedures, which apply to Postgraduate Flexible programmes are specified in the policy “Penalties for late submission for Postgraduate Flexible programmes”, which can be found here: http://www.reading.ac.uk/web/files/qualitysupport/penaltiesforlatesubmissionPGflexible.pdf
The Support Centres will apply the following penalties for work submitted late:

• where the piece of work is submitted after the original deadline (or any formally agreed extension to the deadline): 10% of the total marks available for that piece of work will be deducted from the mark for each working day (or part thereof) following the deadline up to a total of five working days;
• where the piece of work is submitted more than five working days after the original deadline (or any formally agreed extension to the deadline): a mark of zero will be recorded.

The University policy statement on penalties for late submission can be found at: http://www.reading.ac.uk/web/FILES/qualitysupport/penaltiesforlatesubmission.pdf
You are strongly advised to ensure that coursework is submitted by the relevant deadline. You should note that it is advisable to submit work in an unfinished state rather than to fail to submit any work.

Assessment requirements for a pass:
A minimum mark of 50% for Master’s students and 60% for doctoral students.

Reassessment arrangements:

Re-submission of the project

Additional Costs (specified where applicable):

Last updated: 8 April 2021