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: 2018/9

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

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:
By the end of this module, students should be able to
􀀕 Derive analytically the basics of asset pricing models.
􀀕 Demonstrate an understanding of dynamic models.
􀀕 Command advanced tools for quality empirical research.
􀀕 Appreciate and understand many recent 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
Empirical asset pricing methodologies
Term structure models: Theory
Term structure models: Estimation

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.

Summative assessment- Examinations:

Summative assessment- Coursework and in-class tests:

One project. One MCQ. 60 Minutes.

Formative assessment methods:

Penalties for late submission:
Penalties for late submission on this module are in accordance with the University policy. Please refer to page 5 of the Postgraduate Guide to Assessment for further information: http://www.reading.ac.uk/internal/exams/student/exa-guidePG.aspx

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

Reassessment arrangements:

Resit exam

Additional Costs (specified where applicable):
1) Required text books: Cochrane, J. (2005) Asset Pricing, ISBN-10: 0691121370, RRP £48.
2) Specialist equipment or materials:
3) Specialist clothing, footwear or headgear:
4) Printing and binding:
5) Computers and devices with a particular specification:
6) Travel, accommodation and subsistence:

Last updated: 17 August 2018