Type of Credit: Required
Credit(s)
Number of Students
The main focus of this course is the general equilibrium asset pricing models and their applications. These models have important implications for numerous issues in finance. Those who wish to study these issues must be familiar with modern microeconomic and macroeconomic theories, mathematical statistics and econometrics.
能力項目說明
The course attempts to provide theoretical and empirical insights and implications of various issues in financial economics. After taking this course, students should be familiar with the frontier of financial economics and develop their own research plans.
| 教學週次Course Week | 彈性補充教學週次Flexible Supplemental Instruction Week | 彈性補充教學類別Flexible Supplemental Instruction Type |
|---|---|---|
The topics include consumption and production asset pricing models, their empirical evaluations, and related research issues. More details will be discussed in class.
In-class discussions and quizzes: 30%
Paper presentations: 20%
Exams (midterm, final and others): 50%
References:
1. Campbell, John Y. 2017. Financial Decisions and Markets: A Course in Asset Pricing. Princeton University Press.
2. Mele, Antonio. 2022. Financial Ecoomics. MIT Press.
Empirical Evaluations:
1. Mehra, Rajnish and Edward Prescott. 1985. The equity premium: A puzzle. Journal of Monetary Economics 15: 145-161.
2. Weil, P. 1989. The equity premium puzzle and the risk-free rate puzzle. Journal of Monetary Economics 24: 401–421.
3. Hansen, Lars Peter, and Kenneth J. Singleton. 1982. Generalized instrumental variables estimation of nonlinear rational expectations models. Econometrica 1982: 1269-1286.
Presentations:
1. Campbell, John Y. and John H. Cochrane. 1999. By force of habit: A consumption-based explanation of aggregate stock market behavior. Journal of Political Economy 107: 205-251.
2. Bansal, Ravi and Amir Yaron, 2004. Risks for the long run: A potential resolution of asset pricing puzzles. Journal of Finance 59: 1481-1509.
3. Constantinides, George M. and Darrell Duffie, 1996. Asset pricing with heterogeneous consumers. Journal of Political Economy 104: 219-240.
4. Gabaix, Xavier. 2012. Variable rare disasters: An exactly solved framework for ten puzzles in macro-finance. Quarterly Journal of Economics 127(2): 645-700.
5. Jermann, U. 1998. Asset pricing in production economies. Journal of Monetary Economics 42: 257-275.
6. Kung, Howard. 2015. Macroeconomic linkages between monetary policy and the term structure of interest rates. Journal of Financial Economics 115(1): 42-57.