Type of Credit: Elective
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 and macroeconomics. 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 knowledge and skills of several important topics in financial economics. After taking this course, students should be familiar with the frontier of financial economics and develop their own research plans.
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Tentative topics:
1. Arrow-Debreu and financial markets equilibrium.
2. Consumption asset pricing models.
3. Asset pricing puzzles and solutions.
4. Production asset pricing models.
5. Further extensions and applications.
In-class discussions: 20%
Paper presentations: 20%
Exams (midterm, final and others): 60%
Some references:
1. Magill, Michael, and Martine Quinzii. Theory of Incomplete Markets. MIT Press.
2. Lucas Jr, Robert E. 1978. Asset prices in an exchange economy. Econometrica 46(6): 1429-1445.
3. Mehra, Rajnish, and Edward C. Prescott. 1985. The equity premium: A puzzle. Journal of monetary Economics 15(2): 145-161.
4. Hansen, Lars Peter, and Kenneth J. Singleton. 1982. Generalized instrumental variables estimation of nonlinear rational expectations models. Econometrica 50(5): 1269-1286.
5. 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.
6. Bansal, Ravi and Amir Yaron, 2004. Risks for the long run: A potential resolution of asset pricing puzzles. Journal of Finance 59: 1481-1509.
Presentation papers:
1. Campbell, John Y., Carolin Pflueger, and Luis M. Viceira. 2020. Macroeconomic drivers of bond and equity risks. Journal of Political Economy 128(8): 3148-3185.
2. Bekaert, Geert, Eric C. Engstrom, and Nancy R. Xu. 2022. The time variation in risk appetite and uncertainty. Management Science 68(6): 3975-4004.
3. Bansal, Ravi, Shane Miller, Dongho Song, and Amir Yaron. 2021. The term structure of equity risk premia. Journal of Financial Economics 142(3): 1209-1228.
4. Liu, Hening, Andras Fulop, Junye Li, and Cheng Yan. 2024. Estimating and testing long-Run risk models: International evidence. Management Science.
5. Barro, Robert J., and Tao Jin. 2021. Rare events and long-run risks. Review of Economic Dynamics 39: 1-25.
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