The aim of this course is to train students in the field of empirical asset pricing and apply asset pricing models to asset markets including equity, bond and option markets. The students will understand the factor models such as Capital Asset Pricing Model, Fama-French Three-Factors Model, Bond Factor Model, as well as the concept of pricing anomalies and long-short investment strategies. Furthermore, the students will be taught how to implement these factor models in both MATLAB and STATA.
A Understand and use CAPM, FF3, Bond Factor Model, and many other factor models. B Understand the active quantitative asset management such as portfolio sorting and long-short investment strategy based on pricing anomalies C Know how to search data, clean and merge data, as well as implement the asset pricing models in MATLAB and STATA D Learn the skills, data sources, data collection and cleaning, and implementation methodologies, about writing a thesis on asset pricing related topics
The delivery will be primarily in the form of lecture. Learning will be reinforced by appropriate readings from both the textbook, research papers, and industrial articles.