Unit name | Asset Pricing |
---|---|
Unit code | ECONM2035 |
Credit points | 15 |
Level of study | M/7 |
Teaching block(s) |
Teaching Block 1 (weeks 1 - 12) |
Unit director | Professor. Stoja |
Open unit status | Not open |
Pre-requisites |
None |
Co-requisites |
None |
School/department | School of Accounting and Finance - Business School |
Faculty | Faculty of Social Sciences and Law |
The way in which financial assets are priced is at the core of the theory of finance. This unit provides students with a rigorous foundation in modern asset pricing theory and an appreciation of the successes and shortcomings of that theory via an analysis of empirical work in the field. The unit begins with an exposition of mean-variance theory leading to a derivation of the Capital Asset Pricing model. Multi-factor models and Arbitrage Pricing Theory are considered next before students are introduced to some consumption-based asset pricing. There is then a review of empirical work evaluating these asset pricing models. The pricing of bonds and the term structure of interest rates are discussed next. Finally, students are introduced to the key features of various derivatives before the pricing of derivatives using absence of arbitrage techniques is presented. Due to the technical skills required for these topics, students should be comfortable with mathematics, statistics and econometrics.
This unit aims to give students the ability to derive and compare modern asset pricing paradigms, along with the ability to critically evaluate them via an understanding of the results of empirical work in the field. Having successfully completed this unit students should be able to:
Teaching will be delivered through a combination of synchronous and asynchronous sessions including lectures, tutorials, drop-in sessions, discussion boards and other online learning opportunities
Summative assessment: Home examination: 100%. The examination will test the ability of students to critically analyse a range of issues on asset pricing as set out in ILOs 1-5. Formative assessment: One formative assignment on asset pricing overarching ILOs 1-5.
1. Z. Bodie, A. Kane and A. Marcus (2014), Investments, 10th edition, McGraw-Hill, [BKM14].