課程資訊
課程名稱
資產訂價
Asset Pricing 
開課學期
103-2 
授課對象
社會科學院  經濟學研究所  
授課教師
陳釗而 
課號
ECON7200 
課程識別碼
323 M3120 
班次
 
學分
全/半年
半年 
必/選修
選修 
上課時間
星期四2,3,4(9:10~12:10) 
上課地點
社科研609 
備註
限修過研究所計量經濟理論一或計量經濟理論三。
限碩士班以上
總人數上限:14人 
Ceiba 課程網頁
http://ceiba.ntu.edu.tw/1032ECON7200_pricing 
課程簡介影片
 
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課程概述

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

 

課程目標
Introduce students to asset pricing models essential for understanding the pricing mechanisms in seemingly complex financial market. This course is also designed to help the students gain insights into, and to provide an in-depth understanding of the interaction and the gray area at the crossroads between asset pricing theory and econometrics. 
課程要求
The course grade will be based on problem sets (30\%), a presentation (30\%), and a term paper (40\%). The assignments consist of both theoretical and programming exercises. Students should be prepared in econometric theory at the level of Econ7014 or equivalent, and have some working knowledge of time series econometrics. 
預期每週課後學習時數
 
Office Hours
 
參考書目
待補 
指定閱讀
\begin{apabib}
John Cochrane's AFA presidential address (2011),
``Discount Rates,'' (long version on his web site).
\end{apabib}

\begin{apabib}
Ludvigson, S.C.\ (2012),
``Advances in Consumption-Based Asset Pricing: Empirical Tests,''
{\it Handbook of the Economics of Finance}, {\bf 2}.
\end{apabib}

\begin{apabib}
Campbell, J.Y.\ (2002),
``Consumption-Based Asset Pricing,''
{\it Handbook of the Economics of Finance}, {\bf 1}.
\end{apabib}


\begin{apabib}
Campbell, J.Y., Lo, A. and A. MacKinlay (1997),
{\it The Econometrics of Financial Markets}, New Jersey:
Princeton University Press
\end{apabib}


\begin{apabib}
Cochrane, J.H.\ (2005), {\it Asset Pricing}, revised edition, New Jersey: Princeton University Press
\end{apabib}

\begin{apabib}
Duffie, D.\ (2001, Ch5-6, pp.\ 83-133),
{\it Dynamic Asset Pricing Theory}, 3rd Ed., New Jersey: Princeton University Press.
\end{apabib}



\begin{apabib}
Liungqvist, L.\ and T.J.\ Sargent (2012,
Ch13: Asset Pricing,
Ch14: Asset Pricing Empirics),
{\it Recursive Macroeconomic Theory}, 3rd Ed.,
Cambridge: The MIT Press.
\end{apabib}


\begin{apabib}
Nielsen, L.T.\ (1999),
{\it Pricing and Hedging of Derivative Securities},
New York: Oxford University Press.
\end{apabib}


\begin{apabib}
Munk, C. (2013),
{\it Financial Asset Pricing Theory},
Oxford: Oxford University Press.
\end{apabib}



\begin{apabib}
Singleton, K.\ (2006),
{\it Empirical Dynamic Asset Pricing}, New Jersey: Princeton University Press
\end{apabib}


 
評量方式
(僅供參考)
   
課程進度
週次
日期
單元主題
第1週
2/26  Syllabus 
第4週
3/19  GMM, see Chapter 9. 
第10週
4/30  data 
第12週
5/14  sieve estimations