Empirical Asset Pricing
FALL - Part I
Time: 1.11.-1.12.2023Place: Hanken School of Economics, Helsinki & Otaniemi, Aalto University School of Business, Espoo
Lectures & exercises: Associate Professor Jan Antell (Hanken School of Economics) and Associate Professor Peter Nyberg (Aalto University)
Lectures: 27 hours of lectures (27 x 45 minutes), Antell and Nyberg
Please note that the lectures and exercise sessions by Jan Antell will take place at the Hanken School of Economics, address: Arkadiankatu 22, 00100 Helsinki.
DAY |
DATE |
TIME |
PLACE Otaniemi Campus Map |
| Wednesday JA | 1.11.2023 | 10:00 - 13 | A303, Hanken |
| Thursday JA | 2.11.2023 | 10:00 - 13 | A308, Hanken |
| Tuesday JA | 7.11.2023 | 10:00 - 13 | A307, Hanken |
| Wednesday JA | 8.11.2023 | 10:00 - 13 | A210, Hanken |
| Thursday PN | 16.11.2023 | 9:00 - 12 | U250a Finavia, Otakaari 1 |
| Tuesday PN | 21.11.2023 | 9:00 - 12 | U250a Finavia, Otakaari 1 |
| Wednesday PN | 22.11.2023 | 10:00 - 13 | U250a Finavia, Otakaari 1 |
| Tuesday PN | 28.11.2023 | 9:00 - 12 | U250a Finavia, Otakaari 1 |
| Wednesday PN | 29.11.2023 | 10:00 - 13 | U250a Finavia, Otakaari 1 |
Exercises: 6 hours of exercises (6 x 45 minutes), Antell and Nyberg
DAY |
DATE |
TIME |
PLACE Otaniemi Campus Map |
| Wednesday JA | 15.11.2023 | 10:00 - 12 | A307, Hanken |
| Thursday PN | 30.11.2023 | 10:00 - 12 | U250a Finavia, Otakaari 1 |
| Friday PN | 1.12.2023 | 9:00 - 11 | U250a Finavia, Otakaari 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
Prerequisites:
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
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):
PDF
Part Ib (Nyberg): Intro
Exercises: The password for opening the files will be sent to the students.
Part Ia (Antell): PDF
Part Ib (Nyberg): Exercise set 1
Exam of Part I: see below
Term Paper: see instructions below
Spring - part ii: topics in empirical asset pricing
Time: 2.-5.4.2024
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 the course is worth 3 ECTS credits and grading is by a closed book exam.
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, and send it to nfn (at) aalto.fi.
Lectures: 16 h of lectures (16 x 45 minutes)
Please note changes to the teaching schedule in bold below.
DAY |
DATE |
TIME |
PLACE Otaniemi Campus Map |
| Tuesday | 2.4.2024 | 12:00 - 16 | T003, Ekonominaukio 1 |
| Wednesday | 3.4.2024 | 10:00 - 14 | T003, Ekonominaukio 1 |
| Thursday | 4.4.2024 | 9:00 - 13 | U261 OP, Otakaari 1 |
| Friday | 5.4.2024 | 9:00 - 13 | T003, Ekonominaukio 1 |
Course content of part II:
This course covers recent topics in empirical asset
pricing research and investments. It is assumed that students have had
previous exposure to asset pricing theory and probability and
statistics/econometrics.
We will only cover material that has not already been covered
in Part I of this course.
Syllabus: PDF
Lecture notes: The password for opening the files will be sent to the students.
TBA
Credit units: 6 ECTS cr.
Participants:
Doctoral students in finance with preference given to doctoral
students enrolled in GSF. The course is also open for KATAJA as well
as FDPE and Helsinki GSE students with sufficient background in
finance and/or economics. The course is also open for foreign doctoral
students given that there is space in the course.
List of participants:
PDF
Examinations
The whole course for GSF students comprises 3 parts (examinations of part I and II, exercises and a term paper). The total points of the course are 100, and in order to pass the course one needs at least 50% of the points (i.e. 50 points). In addition, one has to get at least 50% of the points from both parts of the course. The term paper is a compulsory part of the course.
- A written examination of Part I and a term paper (60 % weight)
- A written examination of Part II (40 % weight)
- Term Paper Instructions: PDF
- The details of the term paper assignment including the data issues will be agreed on exercise sessions of part I, by Associate Professor Peter Nyberg. Please return the paper directly to Associate Professor Peter Nyberg by e-mail respecting the deadline promptly. No extra time will be granted for whatever reason
- Term Paper Deadline: Note new deadline: February 14, 2024
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.
Examination of Part I: Tuesday, December 12, at 9:00-13:00 in V002, Ekonominaukio 1, Espoo. Please register for the exam through this link. The registration link will be closed one week prior to the exam.
Examination of Part II: Friday, April 19, at 10:00-14:00 in T003, Ekonominaukio 1, Espoo. Please register for the exam through this link. The registration link will be closed one week prior to the exam.
Retake examination (part I & II): Wednesday, May 15, at 10:00-14:00. Please register for the retake exam by sending a message to gsf@aalto.fi at least one week prior to the exam date.
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
Jyväskylä: University of Jyväskylä
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, FDPE
and Helsinki GSE:
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 students registering for
only the part
II of the course is March 11, 2024.
