Empirical Asset Pricing

June 19-23, 2017, Oslo

Application form

ECTS credits: 5
Level of course: PhD level.
Type of course: Elective(for students enrolled from PhD program in business at Nord and other business schools in Norway)
Duration: Four days in total[GAA1]
Study start: Spring (one week in June)
Year of study: 2017
Study place: Oslo
Faculty responsible: Bodø Graduate School of Business
Language of instruction: English
Course responsible person: Thomas Leirvik
E-mail addresses: Thomas.leirvik@nord.no  
Course taught by: Tarun G. Bali
Costs: No costs except syllabus literature
Course evaluation: Annual evaluations which are included in the university's quality assurance system

Description of the course:
Course contents: Asset pricing in theory and practice, with relevance for PhD students in finance and economics. Particular emphasis will be made to give a comprehensive overview of the most important findings of empirical asset pricing research. The course begins with a thorough exposition of the most prevalent econometric methods and techniques with in-depth discussions of the implementation and interpretation of results.

Examples of topics that will be covered are:
A brief introduction to how data is cleaned and summarized efficiently

Portfolio analysis

Fama and Macbeth regression analysis

  • Econometric analysis of factor models, including, but not limited to
     - The size effect
     - The value premium
     - The momentum effec
     - The liquidity premium

    Learning outcomes:
    Knowledge: The candidate will
  • Be in the forefront of knowledge within contemporary topics in empirical asset pricing
  • Understand the main drivers of stock returns and can conduct empirical research in this area
  • Understand the risk-return relationship of financial markets.

    Skills: The candidate will be able to
  • Formulate problems, plan, and carry out research in the field of asset pricing
  • Can carry our research of a high international standard and be able to publish in international peer reviewed finance journals
  • Can handle complex academic issues and challenge established knowledge in asset pricing

    Competence: The candidate can
  • Identify the contribution of the research conducted in empirical asset pricing
  • Formulate and formalize various risk factors and factor models in theory and practice.
  • Understand the econometric methods necessary to carry out analysis of multi-factor models.
  • Knowledge about predictive regression and know to apply it in various settings.
  • Analyze such models in your own PhD project.

    Especially recommended elective courses: n/a

Offered as a free-standing course: The course is offered to PhD students at Nord University and other NFB institutions.

Prerequisites: The applicants to this course will be open to PhD students at Nord University and in Norway.

Recommended previous knowledge: Knowledge in mathematics, econometrics, finance at the level of the mandatory courses in the 5 year programme of Master of science in business. The student should also know basic programming in for example R, Matlab, or Stata.

Mode of delivery: Face-to face

Learning activities and teaching methods:
For the main part of the course: a one-week seminar consisting of four/five days with six hours each taught by Turan G. Bali.

For the elective part of the course: self-study under supervision of the course responsible person

Assessment methods and criteria: Individual research paper on a topic from the syllabus of the main part of the course. A take home exam for the preliminary part of the course. Letters A-F or Pass/Fail depending on requirement of the student.

Work placement: n/a

Study progression requirement: n/a

Recommended or required reading:

Mandatory reading:
Bali, Turan G., Robert F. Engle, and Scott Murray: “Empirical Asset Pricing: The cross section of stock returns”, Wiley 2016

Papers: To be announced later.