Empirical Asset Pricing

FALL - Part I

Time: 3.11.-7.12.2021

Place: 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), 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.


Wednesday JA 3.11.2021 10:00 - 13 Auditorium 307, Hanken
Thursday JA 4.11.2021 10:00 - 13 Auditorium 307, Hanken
Tuesday JA 9.11.2021 10:00 - 13 Auditorium 307, Hanken
Wednesday JA 10.11.2021 10:00 - 13 Auditorium 307, Hanken
Wednesday PN 17.11.2021 12:00 - 15 U006, Ekonominaukio 1
Tuesday PN 23.11.2021 9:00 - 12 V002, Ekonominaukio 1
Wednesday PN 24.11.2021 10:00 - 13 U262 KPMG, Otakaari 1
Tuesday PN 30.11.2021 9:00 - 12 V002, Ekonominaukio 1
Wednesday PN 1.12.2021 12:00 - 15 U006, Ekonominaukio 1

Exercises (6 hours), Antell and Nyberg
Tuesday JA 16.11.2021 10:00 - 12 Auditorium 307, Hanken
Thursday PN 2.12.2021 10:00 - 12 V001, Ekonominaukio 1
Tuesday PN 7.12.2021 9:00 - 11 V002, 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):

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): Exercise set 1



Exercise set 2



Exam of Part I: see below
Term Paper: see instructions 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
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 (rtf), and send it to nfn (at) aalto.fi.

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

Tuesday 19.4.2022 TBA TBA
Wednesday 20.4.2022 TBA TBA
Thursday 21.4.2022 TBA TBA
Friday 22.4.2022 TBA TBA

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: TBA

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). 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 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: January 31, 2022


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 ITuesday, December 14, 2021 at 10:00-14:00 in V001 (Ekonominaukio 1). Please register for the exam through this link.

Examination of Part II: TBA

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 students registering for the part II of the course is April 8, 2022.

The deadline for registrations to this course is October 25, 2021.