Asset Pricing - JEM092

• Title: Asset Pricing
• Guaranteed by: Institute of Economic Studies (23-IES)
• Faculty: Faculty of Social Sciences
• Actual: from 2022
• Semester: summer
• E-Credits: 6
• Examination process: summer s.:
• Hours per week, examination: summer s.:2/2, Ex [HT]
• Capacity: 185 / 185 (unknown)
• Min. number of students: unlimited
• 4EU+: no
• Virtual mobility / capacity: no
• State of the course: taught
• Language: English
• Teaching methods: full-time
• Teaching methods: full-time
• Note: course can be enrolled in outside the study plan; enabled for web enrollment; priority enrollment if the course is part of the study plan
• Guarantor: PhDr. František Čech, Ph.D.
• Teacher(s): PhDr. František Čech, Ph.D.; Mgr. Lukáš Petrásek; Attila Sarkany
• Class: Courses for incoming students
• Incompatibility : JEM186
• Is incompatible with: JEM186

Annotation

English

Last update: PhDr. František Čech, Ph.D. (05.02.2024)

The course provides the fundamentals of modern asset pricing theory and is designed for students interested in investment decision making, portfolio theory, and risk management. Topics covered include portfolio and diversification theory, equilibrium capital markets, and portfolio performance measures.

There are no formal prerequisites for the course. However, knowledge up to the level of Statistics (JEB105), Econometrics I & II (JEB109, JEB110), and Data Science with R I (JEM227) is assumed and expected.

Course completion requirements

English

Last update: PhDr. František Čech, Ph.D. (05.02.2024)

The final mark of up to 100 points consists of:

• Activity during lecture/seminar: 5 points
• Final Exam: 50 (required at least 25 points)
• Home assignments: 45 (required at least 22.5 points)

 Grading scale (p = total points):

• A: p > 90
• B: 80 < p =< 90
• C: 70 < p =< 80
• D: 60 < p =< 70
• E: 50 < p =< 60
• F: p < 50

 

Exam 1: 28.5.2024; 9:30-10:50 (room 109)
Exam 2:   4.6.2024; 9:30-10:50 (room 109)
Exam 3: 18.6.2024; 9:30-10:50 (room 314)

Literature

English

Last update: PhDr. František Čech, Ph.D. (05.02.2024)

The course closely follows two textbooks:

• Bodie, Z., Kane, A., Marcus, A. (2014): Investments, New York: McGraw-Hill.
• Bali, T. G., Engle, R. F. and Murray, S. (2016) Empirical asset pricing: The cross-section of stock returns. Wiley-Blackwell.  
• Hull, J.C. (2015): Risk Management and Financial Institutions, New Jersey: Wiley.

Other recommended textbooks:

• Reilly, F., Brown, K. and Leeds, S. J. (2018) Investment Analysis and Portfolio Management.
• Back, K. E., (2017): Asset pricing and portfolio choice theory, Oxford: Oxford University Press.
• Cochrane, J. H. (2005): Asset Pricing, Princeton: Princeton University Press.
• Munk C. (2007): Financial Asset Pricing Theory, Oxford: Oxford University Press.
• Sharpe, W.S. (2008): Investors and Markets_ Portfolio Choices, Asset Prices, and Investment Advice, Princeton: Princeton University Press.

Syllabus

English

Last update: PhDr. František Čech, Ph.D. (05.02.2024)

SYLLABUS

INTRODUCTION

• Investment Environment
• Asset Classes and Financial Instruments
• Risk, Return, and Historical Record
• BKM Ch 1, 2, 5 / RBL Ch 1, 2

PORTFOLIO THEORY AND PRACTICE

• Capital Allocation to Risky Assets
• Optimal Risky Portfolios
• Index Models
• BKM Ch 6-8 / RBL Ch 6

EQUILIBRIUM CAPITAL MARKETS

• Capital Asset Pricing Model
• Arbitrage Pricing Theory
• BKM Ch 9, 10, 13 / RBL Ch 7

APPLIED PORTFOLIO MANAGEMENT

• Portfolio Performance Evaluation
• BKM 24 / RBL Ch 18

VALUE-AT-RISK

• Risk Management
• Value-at-Risk
• Expected Shortfall
• Coherent Risk Measures
• Extreme Value Theory
• Back-Testing
• H 12

HOMEWORK 1 - data collection

• assigned: March 19, 2024
• deadline: April 9, 2024

EMPIRICAL ASSET PRICING - Preliminaries

• Preliminaries

• Summary Statistics 
• Correlation
• Persistence Analysis
• Portfolio Analysis
• Fama and Macbeth Regression Analysis
• BEM Ch 1 - 6

HOMEWORK 2 - Empirical Asset Pricing I

• assigned: April 16, 2024
• deadline: May 7, 2024

EMPIRICAL ASSET PRICING - The Cross-Section of Stock Returns

• Market Factor
• Beta
• The Size Effect
• The Value Premium
• The Momentum Effect
• Short-Term Reversal
• Liquidity
• Skewness
• Idiosyncratic Volatility
• BEM Ch 7-15

HOMEWORK 3 - Empirical Asset Pricing II

• assigned: April 30, 2024
• deadline: June 11, 2024

Note: The instructor reserves the right to modify the content of the course and will notify students accordingly (in class and in Student Information System).