Empirical Asset Pricing

FALL - Part I

Time: 1.11. - 4.12.2018

Place: Helsinki, Aalto University School of Business


Lectures: Associate Professor Jan Antell (Hanken School of Economics) and Assistant Professor Peter Nyberg (Aalto University)

Exercises: Associate Professor Jan Antell (Hanken School of Economics) and Assistant Professor Peter Nyberg (Aalto University)


Lectures (27 hours), Antell and Nyberg  


Thursday JA 1.11.2018 10:00 - 13 Chydenia G-109
Friday JA 2.11.2018 9:00 - 12 Chydenia G-109
Tuesday JA 6.11.2018 10:00 - 13 Arkadia E-122
Tuesday JA 13.11.2018 10:00 - 13 Arkadia E-122
Wednesday PN 14.11.2018 10:00 - 13 Chydenia G-109
Tuesday PN 20.11.2018 10:00 - 13 Chydenia G-109
Wednesday PN 21.11.2018 10:00 - 13 Arkadia E-122
Tuesday PN 27.11.2018 10:00 - 13 Chydenia G-109
Wednesday PN 28.11.2018 10:00 - 13 Chydenia G-109

Exercises (6 hours), Antell and Nyberg
Wednesday JA 14.11.2018 14:00 - 16 Chydenia G-109
Wednesday PN 28.11.2018 14:00 - 16 Arkadia E-122
Tuesday PN 4.12.2018 10:00 - 12 Chydenia G-109
Course Objective: Part I of the course provides a doctoral level introduction to empirical methods used in asset pricing research

Course Content of Part I:  

1. Least squares, maximum likelihood and the GMM (Antell)
2. The emphasis is on the GMM. Least squares is a prerequisite. (Antell)
3. Asymptotic and finite-sample properties; theoretical and simulation based (Antell)


Syllabus - Part Ia
  • Hayashi (2000): Econometrics: Chapters 1–4, and sections 6.5 and 6.6
  • Cochrane (2005): Asset Pricing: Chapter 10, 11 and 16
  • the lectures and the teaching material (lecture notes and exercises) indicate the topics and the level of econometric formalism required for the exam
Syllabus - Part Ib: PDF


In addition to the prerequisites stated below, we assume that the following topics in the lecture notes, not to be covered in depth during the lectures, are familiar by the beginning of the course:

  • General Stuff up till slide 95, especially the central limit theorem
  • Estimation, slides 96 to 139

 Familiarity with basic econometrics and theory of finance are required. The GSF course Theoretical Asset Pricing is recommended. Knowledge of probability theory and linear algebra is useful (matrix notation will be used). It is assumed that the student knows and understands the matrix-based derivation of the least squares estimator and its properties. (For matrices and the least-squares estimator, see for example Appendix A of Greene (2012): Econometric Analysis, 7e; or Appendices B and C of Guajarati & Porter (2009): Basic Econometrics, 5e. Any other source is as good, given that the least-squares estimator in matrix form is derived.)

There might be some empirical exercises that require using computer and some econometric software package. Canned packages such as Eviews and OxMetrics are sufficient for most of the tasks, but basic skills in a matrix programming language, such as Gauss, Matlab, Ox, R or S-plus, would definitely be useful.

Lecture notes:
The password for opening the files will be sent to the students.

Part Ia (Antell):

Part Ib (Nyberg):

Notes 1

Notes 2

Notes 3

Notes 4

Notes 5

Notes 6


Exercises: The password for opening the files will be sent to the students.

Part Ia (Antell): PDF

Part Ib (Nyberg): Exercises set 1



Exercises set 2


Exam of Part I: see below


 Spring - part ii: topics in empirical asset pricing


Place: Otaniemi, Aalto University School of Business, Espoo

Instructor: Professor Tarun Chordia (Emory University)

Note: This part of the course is also open for PhD students coming from abroad. For them course is worth 3 ECTS credits and grading is by a closed book exam and a term paper.

NFN Travel Grant: NFN offers travel stipends to PhD students in finance who come from another Nordic university, located outside of Finland. To apply for a travel stipend, please use this this form (rtf), and send the application to nfn (at) aalto.fi.

Lectures: 16 h of lectures (16 x 45 minutes)

Monday 15.4.2019 9 - 12:15 T003, Ekonominaukio 1
Tuesday 16.4.2019 9 - 12:15 T003, Ekonominaukio 1
Wednesday 17.4.2019 9 - 12:15 T003, Ekonominaukio 1
Thursday 18.4.2019 9 - 12:15 T003, Ekonominaukio 1

Course content of part II: This course is an introduction to the empirical literature on asset pricing and investments. The primary focus will be on methodological issues and about the interpretation of econometric analysis as applied to financial hypotheses. It is assumed that students have had previous exposure to asset pricing theory and probability and statistics/econometrics. Please focus on the readings that are in bold. We will only cover material that has not already been covered in Part I of this course.

Syllabus: PDF

Exam of part II: see below

Credit units: 6 ECTS cr.

Doctoral students in finance with preference given to doctoral students enrolled in GSF. The course is also open for KATAJA as well as FDPE students with sufficient background in finance and/or economics. In addition, the course is open for foreign doctoral students given that there is space in the course.

List of participants, part I: PDF
List of participants, part II Topics in Empirical Asset Pricing:


The whole course for GSF students comprises 3 parts (examinations of part I and II, exercises, and a term paper). There will be a retake exam covering both parts of the course. The total points of the course are 100, and in order to pass the course one needs at least 40% of the points (i.e. 40 points). In addition, one has to get at least 40% of the points from both written exams or from the retake exam. The empirical term paper is a compulsory part of the course and the percentage requirement also concerns the term paper. The grading of the course will be based on

  • A written examination (80 % weight)
  • Empirical term paper (20 % weight)
    • Term paper Instructions: The details of the term paper assignment including the data issues have been agreed and resolved on lectures. The deadline of the term paper will be announced later. Please return the paper directly to Professor Chordia by e-mail respecting the deadline promptly. No extra time will be granted for whatever reason
    • Term paper Deadline: Thursday May 16, 2019


Exam registration: Please contact the office of GSF gsf @ aalto.fi if you have questions regarding the exam or if you wish to take the exam abroad.

of Part IMonday December 17, 2018 10:00-14:00 in G-109, Chydenia.
Examination of Part II: Friday May 3, 2019 09:00-13:00 in U006, (School of Business, Ekonominaukio 1). Please register through this link. Please note the change in exam day and place!
Retake examination (part I & II): Wednesday May 29, 2019 10:00-14:00 in V002. Please register for the retake exam by sending an email to gsf@aalto.fi.

Examination places:

Helsinki/Otaniemi: Aalto University School of Business
Vaasa: University of Vaasa
Oulu: University of Oulu, Department of Economics
Lappeenranta: Lappeenranta University of Technology
Turku: University of Turku, Turku School of Economics
Other locations: Doctoral students in other universities are requested to inform GSF by sending an e-mail to gsf@aalto.fi if they wish to take the exam in their home universities. The exam can be taken abroad where suitable exam supervision can be arranged. Please note that the exam must be written in presence of an exam supervisor. Thus, please submit the name of the exam supervisor at least 14 days before the examination.  Possible payment and arrangements for supervision should be made by the student.

Registration / Application


  • Doctoral students of GSF and FDPE: Please register through this link.
  • Doctoral students in related fields and doctoral students at foreign universities: Application form can be found here: PDF file or Word file. Please, send in addition to your complete contact information, a report on the status of your doctoral studies, and a brief CV. Please ask also your thesis advisor to send us a short letter of recommendation by-email. All the required documents should be sent by e-mail to gsf@aalto.fi.

Deadline for NFN students for registering to the part II of the course is April 1, 2019.

The deadline for registering in this course is October 22, 2018. All applicants will be informed of their acceptance soon after the deadline.