FINANCIAL MARKETS II/ SPRING 2009
- Syllabus
- Penati,
A. and G. Pennacchi: Notes on Asset Pricing
- Soderlink,
P, “Lecture Notes in Empirical Finance (PhD): Linear Factor
Models”
- Gilbert and Zemcik, "Notes on Performance of Linear Factor
Models: Alphas and Idiosyncratic Risk"
- HW01, Hw01_ff.xls, deadline February 11 in the beginning
of class
- HW02, deadline February
23 in the beginning of an exercise session
- Schedule up to the midterm,
what to study for the midterm, assigned paper for the midterm
- Midterm results: histogram,
points distribution and grading
- GMM notes, "Mean Reversion in Asset Returns and Time
Non-Separable Preferences," International Review of Economics and
Finance 10, 2001, 223-245, presentation
- HW03, hw3_data.xls, HW3_matlab.zip,
deadline March 30 in the beginning of class, completing part 4c is a
necessary condition for the assignment to be submitted
- HW04, you will
need GMM_manual.pdf and HW4_Pr1_data.zip, us23.txt,
IPS.zip (a zipped Stata do
file), Mikhed_Zemcik_JREFE.pdf, completing
computer problems is a necessary condition for the assignment to be
submitted, due onTuesday, April 14 in Olga Aslanidi's mailbox, the exercise session for this HW
will take place Tuesday, April 14,
17:00, rm 313
- Final exam: f2009_outline.doc,
Barberis_Thaler_2002.pdf, Friday, April 17, 10:30-12:00, rm 7
- Grading –
course: 98-100…A+ (3 students), 91-97…A(2), 86-90…B+(0),
81-85…B(1), 73-80…B-(1), 66-72…C+(2), 61-65…C(1),
56-80…C-(0), 0-55…F(1)