Type of Credit: Elective
Credit(s)
Number of Students
This course studies selected topics in modern financial economics. The actual contents depend on the interests of the registered students and the instructor.
能力項目說明
The course plans to provide rigorous insights of the theoretical background and empirical implications of issues in finance. After taking this course, students should be familiar with the relevant literature 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 |
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The actual contents will be determined after detailed discussions with the registered students.
In-class discussions: 50%
Term paper or project: 50%
Selected readings:
1. Ai, Hengjie. 2010. Information quality and long-run risk: Asset pricing implications. Journal of Finance 65(4): 1333-1367.
2. Ai, Hengjie, and Anmol Bhandari. 2021. Asset pricing with endogenously uninsurable tail risk. Econometrica 89(3): 1471-1505.
3. Andrei, Daniel, Michael Hasler, and Alexandre Jeanneret. 2019. Asset pricing with persistence risk. Review of Financial Studies 32(7): 2809-2849.
4. Backus, David, Nina Boyarchenko, and Mikhail Chernov. 2018. Term structures of asset prices and returns. Journal of Financial Economics 129(1): 1-23.
5. Barro, Robert J., and Tao Jin. 2021. Rare events and long-run risks. Review of Economic Dynamics 39: 1-25.
6. Cheng, Xu, Winston Wei Dou, and Zhipeng Liao. 2022. Macro-finance decoupling: Robust evaluations of macro asset pricing models. Econometrica 90(2): 685-713.
7. Croce, Mariano M., Martin Lettau, and Sydney C. Ludvigson. 2015. Investor information, long-run risk, and the term structure of equity. Review of Financial Studies 28(3): 706-742.
8. Kung, Howard, and Lukas Schmid. 2015. Innovation, growth, and asset prices. Journal of Finance 70(3): 1001-1037.
9. Malloy, Christopher J., Tobias J. Moskowitz, and Annette Vissing-Jørgensen. 2009. Long-run stockholder consumption risk and asset returns. Journal of Finance 64(6): 2427-2479.
10. Pohl, Walter, Karl Schmedders, and Ole Wilms. 2021. Asset pricing with heterogeneous agents and long-run risk. Journal of Financial Economics 140(3): 941-964.
| 書名 Book Title | 作者 Author | 出版年 Publish Year | 出版者 Publisher | ISBN | 館藏來源* | 備註 Note |
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