- Docente: Martin Gonzalez Eiras
- Crediti formativi: 6
- SSD: SECS-P/11
- Lingua di insegnamento: Inglese
- Modalità didattica: Convenzionale - Lezioni in presenza
- Campus: Bologna
- Corso: Laurea Magistrale in Economics (cod. 8408)
Conoscenze e abilità da conseguire
The goal of the course is to introduce students to a sound knowledge of asset pricing using dynamic programming techniques. The pricing method is based on the intertemporal approach known as Consumption Capital Asset Pricing Model (Lucas, 1978), which represents a fundamental approach in financial economic theory on asset pricing. By the end of the course the student has acquired: - a good knowledge of fundamental notions of choice under uncertainty; - a good knowledge of basic tools for handling intertemporal maximization problems; - a good knowledge of the pricing technique known as Consumption Capital Asset Pricing Model; - a good understanding of the economic determinants of price fluctuations on financial markets.
Contenuti
1. Introduction to asset pricing
2. Mean-variance models, CAPM and factor models
3. General equilibrium consumption-based asset pricing
4. Incomplete markets and financial innovation
5. Heterogeneous beliefs
6. Market microstructure theory
7. Market microstructure empirics
Testi/Bibliografia
Cochrane J., “Asset Pricing”, 2001, Princeton University Press
O’Hara M., “Market Microstructure Theory”, 1995, Blackwell Publishers
Huang C. y R. Litzenberger, “Foundations for Financial Economics”, 1988, Prentice Hall
Brunnermeier M., “Asset Pricing under Asymmetric Information”, 2001, Oxford University Press
Ross S., “Arbitrage Theory of Capital Asset Pricing”, 1976, Journal of Economic Theory 13, 341-360
Breeden D., “An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities”, 1979, Journal of Financial Economics 7, 265-296
Lucas R., “Asset Prices in an Exchange Economy”, 1978, Econometrica 46, 1429-1445
Mehra R. and E. Prescott, “The equity premium: A puzzle”, 1985, Journal of Monetary Economics, 15(2), 145-161
Willen P., “New financial markets: who gains and who loses”, 2005, Economic Theory, 26, 141-166
Calvet L., Gonzalez-Eiras M., and P. Sodini, “Financial Innovation, Market Participation and Asset Prices”, 2004, Journal of Financial and Quantitative Analysis, 39(3), 431-459
Geanakoplos J., “The Leverage Cycle”, 2009, NBER Macroeconomics Annual, 1-65
Martin I. and D. Papadimitriou, “Sentiment and speculation in a market with heterogeneous beliefs”, forthcoming, American Economic Review
Glosten L. and P. Milgrom, “Bid, Ask, and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders”, 1985, Journal of Financial Economics 13, 71-100
Kyle A., “Continuous Auctions and Insider Trading”, 1985, Econometrica 53, 1315-1336
Kyle A., “ Informed Speculation with Imperfect Competition”, 1989, Review of Economic Studies 56, 317-355
Back K., “Insider Trading in Continuous Time”, 1992, The Review of Financial Studies, 5, 387-409
Back K. and S. Baruch, “Information in Securities Markets: Kyle Meets Glosten and Milgrom”, 2004, Econometrica, 72, 433-465
Campbell J., Lo A., and A. MacKinlay, “The Econometrics of Financial Markets", 1997, Princeton University Press, chapter 3.
Cipriani M. and A. Guarino, “Estimating a Structural Model of Herd Behavior in Financial Market”, 2014, American Economic Review, 104(1), 224-251
Kirilenko A., Kyle A., Samadi M. and T. Tuzun, “The Flash Crash: High-Frequency Trading in an Electronic Market”, 2017, Journal of Finance, 72(3), 967-998
Metodi didattici
Lectures. There is no required text so you will have to take notes about what we will cover in class.
Modalità di verifica e valutazione dell'apprendimento
Your grade will be based on (1) a final exam (80% of your grade), and (2) a class presentation of one paper to be done in pairs of students (20% of your grade). All presentations are in English, will take place on the last week of classes and must be done in three-person teams (depending on class size). I will assign papers to each team. Each team will have about 20 minutes (depending on class size). You must submit your presentation slides before the presentation. You will be graded both on clarity and content of the presentation.
The maximum possible score in the class is 30 cum laude, in case all answers are correct, complete and formally rigorous. The grade distribution is as follows:
<18 failed
18-23 sufficient
24-27 good
28-30 very good
30 e lode excellent
In case of an online exam, the exam will be run through Zoom or Teams and Exams Online (EOL). Detailed instructions on how to manage and hand in the online exam will be made available on the course page prior to the exam.
Strumenti a supporto della didattica
Slides prepared by the instructor.
Orario di ricevimento
Consulta il sito web di Martin Gonzalez Eiras