Магистратура
2025/2026
Эмпирические исследования ценообразования финансовых активов
Статус:
Курс обязательный (Стратегическое управление финансами фирмы)
Кто читает:
Школа финансов
Когда читается:
2-й курс, 1 модуль
Охват аудитории:
для своего кампуса
Язык:
английский
Контактные часы:
34
Course Syllabus
Abstract
Students are introduced to state-of-the-art tools for finding relationships between individual companies' financial, behavioral, and stock market factors and future stock price performance. The course examines and tests current academic and industry ideas and gradually introduces the constraints investors face in executing strategies.
Learning Objectives
- Students know the basic empirical asset pricing models and the specifics of their application. Students have the technical skills to test models in Python. Students can evaluate models' performance and understand the methods' limitations and assumptions.
Expected Learning Outcomes
- Students should know the basic empirical asset pricing models and the specifics of their application. Students should have the technical skills to test models in Python. Students should be able to evaluate models' performance and understand the methods' limitations and assumptions.
Course Contents
- 1. An introduction to empirical asset pricing and model testing methods
- 2. Construction of single-factor strategies based on stock exchange and financial data
- 3. Behavioral factors in empirical pricing
- 4. Multifactor asset pricing models
- Alternative methods of constructing portfolios and testing hypotheses
- 6. Models performance evaluation
- 7. Multiple hypothesis testing and the problem of the “zoo” of explanatory pricing factors
