Empirical Asset Pricing

Time: 30.10.-5.12.2024

Place: Aalto University School of Business, Otaniemi, Espoo

Registrations: The deadline for registrations is October 20, 2024. See registration/application details at the bottom of the page.


Lectures: Associate Professor Matthijs Lof (Aalto University) and Associate Professor Petri Jylhä (Aalto University)


Lectures: 36 h of lectures (36 x 45 minutes)

DAYDATETIMEPLACE
(Otaniemi Campus Map)
Wednesday ML30.10.202413:00 – 16U250a, Otakaari 1
Thursday ML31.10.20249:00 – 12U250a, Otakaari 1
Wednesday ML6.11.202413:00 – 16T003, Ekonominaukio 1
Thursday ML7.11.20249:00 – 12T003, Ekonominaukio 1
Wednesday ML13.11.202413:00 – 16U250a, Otakaari 1
Thursday ML14.11.20249:00 – 12U250a, Otakaari 1
Wednesday PJ20.11.202413:00 – 16T003, Ekonominaukio 1
Thursday PJ21.11.20249:00 – 12T003, Ekonominaukio 1
Wednesday PJ27.11.202413:00 – 16U264 K-Ryhmä, Otakaari 1
Thursday PJ28.11.20249:00 – 12T003, Ekonominaukio 1
Wednesday PJ4.12.202413:00 – 16T003, Ekonominaukio 1
Thursday PJ5.12.20249:00 – 12T003, Ekonominaukio 1

Learning goals: By the end of the course, students should be able to critically navigate the empirical asset pricing literature; be able to apply empirical methods used in asset pricing; be familiar with the main findings and remaining open questions in the literature.

Prerequisites: Students are highly recommended to have completed Theoretical Asset Pricing and should have basic knowledge of Econometrics. The Helsinki GSE Advanced Econometrics 1 course is recommended.

Course contents: The course starts with a recap of econometric methods used for empirical asset pricing. Next, the course will cover various topics in time-series and cross-sectional empirical research in asset pricing, including – but not limited to, discount rates vs cash flows, testing the capital asset pricing model and factor models, the factor zoo, consumption-based and other approaches to asset pricing.TBA

Syllabus:

Downloadable fileEmpirical Asset Pricing 2024 Syllabus (.pdf)

Access to the articles is subject to your home institutions’ subsciptions to the databases. Hard copies of all readings are available for consultation at GSF office, Aalto University School of Business, room T317.

Lecture notes: TBA

The password for opening the files will be e-mailed to course participants.

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.

Participant list: TBA

Examinations

Grading: The course comprises two compulsory parts (a written closed book exam and a term paper). The total points of the course are 100. To pass the course, one needs at least 50 points. In addition, one must get at least 50% of the points from each compulsory parts.

  • A written exam (max 80 points)
  • A term paper (max 20 points) – instructions will be given during the course.

Term Paper Deadline: January 31, 2025. Please submit the term paper through MyCourses. Instructions for the term paper will be provided during the course.

Examination dates and times:

Examination date and time: Friday, December 13, at 10:00-14:00 in V001, 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: Friday, February 28, at 10:00-14:00 in U119 Deloitte, Otakaari 1, Espoo. Please register for the retake exam by sending a message to gsf@aalto.fi at least one week prior to the exam date.

If you wish to take the exam in your home university (other than GSF member university), please see instructions below.

Exam locations:

Espoo: Aalto University School of Business
Jyväskylä: University of Jyväskylä
Lappeenranta: Lappeenranta University of Technology
Oulu: University of Oulu
Turku: University of Turku
Vaasa: University of Vaasa

Other locations: Doctoral students in other universities are requested to inform the 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 the 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 below (both in PDF and Word format). In addition to the application form, please also send a report on the status of your doctoral studies, and a brief CV. Please also ask 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 registration deadline.
Downloadable fileCourse application (PDF file) (.pdf)
Downloadable fileCourse application (Word file) (.doc)



The deadline for registrations to this course is October 20, 2024.