Selected Topics in Asset Pricing

Time: 14.-16.8.2024

Place: Aalto University School of Business, Otaniemi, Espoo

Registrations: The deadline for registrations is August 4, 2024. See registration/application details at the bottom of the page.


Teaching:
Professor Samuel Hartzmark (Carroll School of Management, Boston College)


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 the below form and send it to nfn (at) aalto.fi.


Lectures:
12 h of lectures (12 x 45 minutes)

DAYDATETIMEPLACE
(Otaniemi Campus Map)
Wednesday14.8.202414:00 – 18V001, Ekonominaukio 1
Thursday15.8.202414:00 – 18V001, Ekonominaukio 1
Friday16.8.202410:00 – 14V001, Ekonominaukio 1

Course objective: This course will explore recent innovations in empirical asset pricing. Specific topics may include mispricing due to behavioral biases, predictable returns based on recurring firm events, and whether or not green investing has influenced market dynamics.

Course description:

Day 1: Non-standard tests of asset pricing models

Asset pricing models are typically judged based on how well they fit historical data after assuming rationality and a specific set of preferences. While this should be one aspect of how we test these models, it is not sufficient and they should be tested in other ways as well. This day will discuss standard asset pricing models, standard tests of these models as well as these alternatives and explore whether they should be added to the canon of standard asset pricing tests. This will require turning to non-standard data such as surveys, examining what information investors demand to see and generally taking seriously what investors say they are trying to do.

Day 2: Recurring firm events and predictable returns

Many common firm events recur on a predictable basis, such as earnings and dividends, among others. Surprisingly (from a standard asset pricing perspective), these events tend to be associated with large positive abnormal returns. These returns occur mainly on the long side of the portfolio, are statistically and economically large when value weighted, and replicate internationally. We will discuss a number of these cross-sectional patterns (e.g. the earnings announcement premium, dividend month premium, Heston and Sadka seasonality, etc) and also the evidence for why such patterns exist and what this means for understanding asset markets.

Day 3: Bringing trading back into asset pricing

Textbook asset pricing asserts that prices move due to fundamentals. This suggests that trade in and of itself has no impact on asset prices. Yet, go talk to a sophisticated market participant and perhaps their largest concern is that their trade shifts prices against them. This day will focus on the recent literature that has brought trading back to the fore of understanding asset price movements. Specific topics will likely include the inelastic markets hypothesis, the influence of predictable price pressure, and the influence of non-standard demand such as green finance. 

Syllabus:

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 (Ekonominaukio 1, room T317)

Lecture notes:

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

Credit units: 3 ECTS cr.

List of participants:

Participants: Doctoral students in finance. 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.

Examinations

Grading: Term paper. In order to pass the course, one needs at least 50% of the points.

Term paper deadline: Sunday, September 15, 2024. Please return the term paper to GSF coordinator via email at reetta.ali-alha (@) aalto.fi. Please respect the deadline promptly.

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.

The deadline for registrations to this course is August 4, 2024.