Empirical Asset Pricing

FALL - Part I

Time: 31.10. - 4.12.2019

Place: Hanken School of Economics & 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  

Please note that Jan Antell's lectures and exercises will take place at Hanken School of Economics (third floor above the main entrance), Arkadiankatu 22, Helsinki (marked in bold in the schedule below)

Please note that Peter Nyberg's lecture and exercise sessions on Wednesday, November 27, have been rescheduled for Monday, November 25. The changes have been marked in red in the schedule below.


Thursday JA 31.10.2019 10:00 - 13 A303, Hanken
Tuesday JA 5.11.2019 10:00 - 13 A303, Hanken
Wednesday JA 6.11.2019 10:00 - 13 A303, Hanken
Tuesday JA 12.11.2019 10:00 - 13 A303, Hanken
Wednesday PN 13.11.2019 9:00 - 12 T003, Ekonominaukio 1
Tuesday PN 19.11.2019 10:00 - 13 T003, Ekonominaukio 1
Wednesday PN 20.11.2019 13:00 - 16 T004, Ekonominaukio 1
Thursday PN 21.11.2019 10:00 - 13 T003, Ekonominaukio 1
Monday PN 25.11.2019 9:00 - 12 T004, Ekonominaukio 1

Exercises (6 hours), Antell and Nyberg
Wednesday JA 13.11.2019 14:00 - 16 A308, Hanken
Monday PN 25.11.2019 14:00 - 16 U405a, Otakaari 1
Wednesday PN 4.12.2019 10:00 - 12 T003, Ekonominaukio 1

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):

Lecture notes 1

Lecture notes 2

Lecture notes 3

Lecture notes 4

Lecture notes 5

Lecture notes 6


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

Part Ia (Antell): PDF

Part Ib (Nyberg): Exercise set 1



Exercise set 2


Exam of Part I: see below

Spring - part ii: topics in empirical asset pricing



Place: Online course

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 Grants for attending PhD students in finance coming from Nordic institutions outside of Finland. To apply for the Travel Grant
, please use this this form (rtf), and send it to nfn (at) aalto.fi.

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

Tuesday 14.4.2020 16:45 - 20  
Thursday 16.4.2020 16:45 - 20  
Tuesday 21.4.2020 16:45 - 20  
Thursday 23.4.2020 16:45 - 20  

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: PDF


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: Monday May 18, 2020


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 I: Wednesday December 18, 2019 in U006 (Aalto University School of Business, Ekonominaukio 1) at 10:00-14:00. Please register for the exam through this link.

Examination of Part II: Wednesday May 6, 2020 (take-home exam) at 10:00-12:00. Please register for the exam through this link.

Retake examination (part I & II): TBA

Examination places:

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 (finance & economics): 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. All applicants will be informed of their acceptance soon after the deadline.

Deadline for NFN students for registering to the part II of the course is April 1, 2020.

The deadline for registering in this course is October 21, 2019.