Advanced Asset Pricing
Date:
30/03/2015
Organised by:
University of Bristol
Presenter:
Professor Nick Taylor
Level:
Intermediate (some prior knowledge)
Contact:
Nick Taylor
nick.taylor@bristol.ac.uk
Description:
Advanced Asset Pricing
10.30-5.00pm on Monday 30th March 2014
Priory Road, Complex E, Block 2E4, University of Bristol, BS8 1TX
The aim of the workshop is to provide an overview of advanced asset pricing primarily based on Cochrane (2005). The workshop will be led by Professor Nick Taylor.
Theory relating to consumption-based and factor models, methodologies covering the generalised method of moments (GMM) and regression-based approaches to estimating and evaluating asset pricing models, and empirical evidence with a focus on relations between expected returns and risk factors.
The following four broad areas (parts) will be considered: Theory I, Theory II, Methodologies and Empirical Evidence. Each part will last approximately one hour with and hour at the end of the workshop left for questions and discussion.
On completion of the workshop participants should be able to (inter alia):
- Understand the key feature of asset pricing models
- Differentiate between the different representations of the basic pricing equation
- Understand (and implement) and key methodologies used to test asset pricing models
- Appreciate the latest developments in empirical testing of asset pricing models with a focus on factor models
Places on the workshop are limited to 20. If you wish to attend please contact nick.taylor@bristol.ac.uk
The core reading list for the workshop is
Cochrane, J., 2005, Asset Pricing (Revised Edition, Princeton University Press).
In addition, a number of academic papers should be read. These papers will be referenced in the workshop. The core reading is:
Part I: Theory I:
Chapters 1 and 2, Cochrane (2005).
Part II: Theory II:
Chapters 2, and 6 to 9, Cochrane (2005).
Part III: Methodologies:
Chapters 10 to 16, Cochrane (2005).
Part IV: Empirical Evidence:
Chapter 20, Cochrane (2005), and Goyal (Financial Markets and Portfolio Management, 2012).
Cost:
Free to attend but booking required
Website and registration:
Contactnick.taylor@bristol.ac.uk
Region:
South West
Keywords:
Quantitative Data Handling and Data Analysis, Quantitative Approaches (other), Generalised Method of Moments (GMM)
Related publications and presentations:
Quantitative Data Handling and Data Analysis
Quantitative Approaches (other)
Generalised Method of Moments (GMM)