A formal analysis of models of asset pricing, covering a variety of topics in the area of stock and option pricing, is presented. Specific topics include: C-CAPM, the stochastic discount factor, factor pricing models, and present value models. The issue of excess volatility in financial markets is addressed, and recent work on behavioral finance reviewed. Students will consider both underlying theoretical analyses and practical/empirical applications.
Method of assessment:
A 1-hour mid-semester test (30%) and a 2-hour written examination (70%)