DRE 4024 Asset Pricing Theory I
DRE 4024 Asset Pricing Theory I
The objective of this course, divided into two parts, is to undertake a rigorous study of the fundamental theories of modern financial economics regarding the role of asset markets and the determination of asset prices. Specifically, the course will provide students with an overview of asset pricing theory, preparing them for independent research in both empirical and theoretical asset pricing. The primary focus will be on discrete-time settings, though some analysis in continuous time may be introduced. The course will cover central themes such as choice under uncertainty, static and dynamic portfolio selection, equilibrium, efficiency, and asset prices. Both consumption-based and production-based theories will be explored in relation to both the cross-section and time-series dimensions of asset prices.
After completing part 1 of this course, students will have a solid understanding of key concepts in theoretical and applied asset pricing. This includes but is not limited to, concepts such as the absence of arbitrage, state prices, factor models, equilibrium, and efficiency. The emphasis will primarily be on comprehending this theory in a static setting, specifically in relation to the cross-section of asset prices and returns. Additionally, students will understand the fundamentals of dynamic asset pricing within endowment and production economies and learn the main questions that this field seeks to address.
Upon successful completion, students will be able to derive asset pricing implications and testable hypotheses of various models.
Upon successful completion, students will be able to provide the economic intuition of various models in explaining asset prices and understand the challenges of the current theories.
- Introduction to asset pricing and risk preferences
- Static portfolio choice
- Static asset pricing models: CAPM, APT, factor models
- Equilibrium, efficiency, and the SDF
- Introduction to dynamic asset pricing: CCAPM, ICAPM
- Introduction to production-based asset pricing
-
-
Enrollment in a PhD Programme is a general requirement for participation in PhD courses at BI Norwegian Business School.
External candidates are kindly asked to attach confirmation of enrollment in a PhD programme when signing up for a course. Other candidates may be allowed to sit in on courses by approval of the courseleader. Sitting in on a course does not permit registration for the course, handing in exams or gaining credits for the course. Course certificates or confirmation letters will not be issued for sitting in on courses.
Disclaimer
Deviations in teaching and exams may occur if external conditions or unforeseen events call for this.
-
| Assessments |
|---|
Exam category: School Exam Form of assessment: Written School Exam - pen and paper Exam/hand-in semester: First Semester Weight: 100 Grouping: Individual Support materials:
Duration: 3 Hour(s) Exam code: DRE 40241 Grading scale: ECTS Resit: All components must, as a main rule, be retaken during next scheduled course |
A course of 1 ECTS credit corresponds to a workload of 26-30 hours. Therefore a course of 3 ECTS credit corresponds to a workload of at least 80 hours.