Literature
Empirical Asset Pricing 2015
No formal course book
For the course we will use research articles. However, note that sometimes course books in Econometrics or
Financial Economics will be of great help as they might be more explanatory. There are often also lots of
educational publications both in print and on video on the web. I will use a matrix based program in the lectures
because it easy to “slice and dice” data for different types of tests and formations of portfolios in them but you
can use whatever software you like to do the analysis. We will not have time to fully teach software
programming so those of you that know you are poor in handling data will benefit from obtaining literature such
as “Getting started with MATLAB: A quick introduction scientists and engineers” by Rudra Patrap (I will use
matlab) or similar texts for the program you decide to use. Note that if you google you will find lots of material
in this field that is good for free on the web.
Some links to “getting started” with matlab
http://se.mathworks.com/help/matlab/getting-started-with-matlab.html
https://www.youtube.com/watch?v=jTS5ZmrrzMs
If you simply type “matlab” or “getting started with matlab” in youtube, or any other specific topic you are
interested in you will find lots of material.
List of Articles (tentative and might change during the course)
Myung, 2003, “Tutorial on maximum likelihood estimation”, Journal of Mathematical
Psychology, 47, 90-100.
Becker, Clements, and White, (2007), “Does implied volatility provide any information
beyond that captured in model-based volatility forecasts?”, Journal of Banking and
Finance, 31:8, 2535:2549.
Hansen, 1982, ``Large Sample Properties of Generalized Method of Moments'',
Econometrica
Hansen, Lars Peter, (2007), “Generalized Method of Moments Estimation” Mimeo
Chicago University. http://home.uchicago.edu/~llian/paper/GMM_estimation.pdf Eric Zivot can be found at
http://faculty.washington.edu/ezivot/econ583/gmm.pdf .
Sharpe, W., (1991), “Capital Asset Prices, with and without Negative Holdings”, Journal of Finance, vol 46.
Eugene F. Fama; James D. MacBeth. The Journal of Political Economy, Volume 81, Issue 3
(http://home.business.utah.edu/finmll/fin787/papers/famamacbeth1973.pdf)
Fama, French, (1992), “The Cross-Section of Expected Stock Returns”, Journal of Finance.
http://www.bengrahaminvesting.ca/Research/Papers/French/The_CrossSection_of_Expected_Stock_Returns.pdf
-,(1993), “Common risk factors in the returns on stocks and bonds”, Journal of Finacial Economics.
http://rady.ucsd.edu/faculty/directory/valkanov/pub/classes/mfe/docs/fama_french_jfe_1993.pdf
-, (1996), “Multifactor Explanations of Asset Pricing Anomalies” Journal of Finance.
http://home.business.utah.edu/finmll/fin787/papers/famafrench1996.pdf ,
Jagannathan, and Wang, (1996) “The conditional CAPM and the Cross-Section of Expected Returns”, Journal of
Finance.http://rady.ucsd.edu/faculty/directory/valkanov/pub/classes/mfe/docs/Jagannathan_Wang_JF_1996.pdf
Grinblatt, Timan, (1989), “Portfolio Performance Evaluation: Old Issues and New Insights”, The Review of
Financial Studies.https://umdrive.memphis.edu/cjiang/www/teaching/fir87710/paper/porfolio%20performance%20evaluation.pdf ,
Literature
Empirical Asset Pricing 2015
Campbell, Lo & MacKinley, (1997), “The Econometrics of Financial Markets,
Princeton University Press (We will use some material in the beginning of
the book but most are also in other articles)
Lo & MacKinley, (1988), ``Stock Market Prices do not Follow Random Walks:
Evidence from a Simple Specification Test'' Review of Finacial Studies
MacKinley, (1997), ``Event Studies in Economics and Finance'', Journal of
Economic Literature
Engström, (2004), Does Active Portfolio Management Create Value? An Evaluation of
Fund Managers' Decisions, Mimeo Stockholm School of Economics.
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=302117
Engle, (1982), ``Autoregressive Conditional Heteroscedasticity with
Estimates of the Variance of United Kingdom Inflation'', Econometrica
Bollerslev, (1986) ``Generalized Autoregressive Conditional
Heteroskedasticity'', Journal of Econometrics
Engle, Lilian and Robins, (1987), ``Estimating Time-Varying Risk Premia in
the Term Structure: the ARCH-M MODEL'' Econometrica
Nelson, (1991) ``Conditional Heteroskedasticity in Asset Returns: A New
Approach'' Econometrica
Glosten, Jagannathan and Runkle, (1993) ``On the Relation Between the
Expected Value and the Volatility of the Nominal Excess Return on Stocks''
Journal of Finance
Drost and Nijman (1993) ``Temporal aggregation of GARCH Processes''
Econometrica
Engle and Ng (1993), ``Measuring and Testing the Impact of News of
Volatility'' Journal of Finance
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Ginger Wu, (2006),
“REALIZED BETA: PERSISTENCE AND PREDICTABILITY”, Econometric Analysis of
Financial and Economic Time Series/Part B Advances in Econometrics, Volume 20, 1–39
Samkharadze, Besik, (2009), “Volatility Spillovers in European Stock Markets: A Multivariate
GARCH Analysis” mimeo: http://www.addegem-asso.fr/docs/PapersDMM2009/37.pdf