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 Fi- nance, 31:8, 2535:2549.

Hansen, 1982, ``Large Sample Properties of Generalized Method of Moments'', Econo- metrica

Hansen, Lars Peter, (2007), “Generalized Method of Moments Estimation” Mimeo Chica- go 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_Cross- Section_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 Literature Empirical Asset Pricing 2015

Grinblatt, Timan, (1989), “Portfolio Performance Evaluation: Old Issues and New Insights”, The Review of Financial Studies.https://umdrive.memphis.edu/cjiang/www/teaching/fir8-7710/paper/porfolio%20performance %20evaluation.pdf ,

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 Esti- mates of the Variance of United Kingdom Inflation'', Econometrica

Bollerslev, (1986) ``Generalized Autoregressive Conditional Heteroskedas- ticity'', 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 Ap- proach'' Econometrica

Glosten, Jagannathan and Runkle, (1993) ``On the Relation Between the Ex- pected Value and the Volatility of the Nominal Excess Return on Stocks'' Journal of Finance

Drost and Nijman (1993) ``Temporal aggregation of GARCH Processes'' Econo- metrica

Engle and Ng (1993), ``Measuring and Testing the Impact of News of Volatil- ity'' Journal of Finance

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Ginger Wu, (2006), “REAL- IZED 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