Course Detail
Course Components:
Enrollment Information
Enrollment Requirement:
Prerequisites: Graduate Standing or Masters status in the David Eccles School of Business.
This is an advanced class on asset pricing theory and empirical tests. Topics can include: review of basic asset pricing theory (utility, risk, portfolio theory, CAPM, Markov and martingale processes, absence of arbitrage, Walrasian equilibrium, complete markets and dynamic completeness, Radner equilibrium, noisy rational expectations, empirical evidence, the experimental approach); .intertemporal asset pricing (Lucas, foresight, representative agent, robustness, GMM and Euler equations, alternative preferences, continuous time, options, term structure, beliefs); financial data; sources of bias in asset pricing tests; linear factor models; consumption-based asset pricing models; explanations of the value premium; long run risk; rare disasters; behavioral models; and the term structure of interest rates.