This course covers asset pricing: theory and empirics, with focus on particular topics. Because empirical work is guided by theory, we start by reviewing (discrete-time/continuous-time/preference-based/arbitrage-free) asset pricing theory, and move to discuss a number of empirical puzzles arising from that theory. The interaction between asset pricing theory and econometric analysis is also emphasized, such as econometric methods for analyzing pricing kernels, preferences, and testing and evaluating dynamic asset pricing models.

Topics include:

1. Dynamic Asset Pricing: theoretical models and their empirical implementation, generalized method of moments (GMM), and evaluating asset pricing models via Hansen-Jagannathan bounds,

2. John H.\ Cochranes's Coursera course (www.coursera.org/course/assetpricing)
Presentation 1: Classic issues in Finance; Equilibrium, Contingent Claims, Risk-Neutral Probabilities
Presentation 2: State-Space Representation, Risk Sharing, Aggregation, Existence of a Discount Factor
Presentation 3: Mean-Variance Frontier, Beta Representations, Conditioning Information
Presentation 4: Factor Pricing Models, Value Premium, the Fama-French model
Presentation 5: Options and Bonds, Relative Pricing in Action, Term Structure Definitions
Presentation 6: Term Structure Models
Presentation 7: Portfolio Theory

3. Sieve Estimation of Semi-nonparametric Models: habit-based asset pricing,

4. Bounds and Partial Identification: shortsales constraint and volatility bounds with frictions,

5. High-Dimensional Factor Analysis: APT, macro factors, bond risk premia.

6. {\it If time permits,} Strebulaev and Whited (2012): Dynamic Models and Structural Estimation in Corporate Finance