(PhD) Asset Pricing I

This course provides an overview of the field of asset pricing. The emphasis of this course is on the theoretical underpinnings of the field and the evaluation of models built to address the empirical regularities observed in the US (and to some extent international) securities data. The emphasis will largely be on discrete-time models, though we will deal with continuous-time methods in some places. The topics covered include: the law of one price and the stochastic discount factor, consumption asset pricing, recursive preferences, habit formation, market frictions and transaction costs, issues in fixed income and currency pricing, empirical evidence on stock returns, and models with asymmetric or limited information. The course is designed for second year doctoral students in finance. Economics doctoral students and other finance doctoral students are also welcome. Other students may take this course if they have previously taken at least one PhD-level finance course on asset pricing and one PhD-level course on statistics or econometrics.