2025/2026

Asset Pricing and Financial Markets 1

Type: Minor

Delivered by: International College of Economics and Finance

Where: International College of Economics and Finance

Open to: students of all HSE University campuses

Instructors: Runjie Geng, Marina Perminova

Language: English

ECTS credits: 5

Contact hours: 64

Course Syllabus

Abstract

This course is aimed at students who wish to understand how financial markets work and how securities are priced. The course allows to build an understanding of bond and stock valuation approaches based on discounted cash flow and no arbitrage approaches. The course proceeds with the analysis of risk-return trade-off, portfolio construction theory (MPT) and factor models (Capital Asset Pricing Model, Fama-French, APT). The course is based on lectures, seminars, teamwork and self-study.

Learning Objectives

• The main objective of the course is to provide a conceptual background for the valuation of financial assets and a professional discussion of asset pricing approaches. The course aims include: 1) comprehending the no-arbitrage condition as a key valuation principle 2) providing students with a thorough grounding in asset pricing 3) developing students’ skills in applying pricing methods to realistic scenarios 4) provide a critical overview of the research on financial markets efficiency 5) developing students’ understanding of how security markets operate.

Expected Learning Outcomes

• Apply present value techniques to price stocks and bonds
• Describe the important differences between stock, bond and derivative securities.
• Employ mathematical tools to compute risk and return for portfolios of securities.
• Evaluate portfolio choice problems.
• Explain how to price assets using both present value and absence of arbitrage methods.
• Present, explain and apply the Capital Asset Pricing model for computing expected stock returns.
• o Describe the important differences between stocks and bonds.
• Be familiar with Markowitz portfolio theory.
• o Be familiar with assumptions, application and limitations of CAPM, APT and Fama-French models in estimating asset and portfolio risk and returns.

Course Contents

• Introduction to the Course. No arbitrage condition as a basic valuation principle
• Fundamentals of Bond Valuation
• Fundamentals of Stock Valuation
• Risk and Expected Return: Principles of Portfolio Analysis
• Asset Pricing Approaches: CAPM, APT and alternatives

Assessment Elements

• Winter Exam
  Final exam contains questions on topics from 1-2nd modules of the study year. The final exam is a blocking element of the total grade: in order to get a passing grade for the course, the student must sit all parts of the examination.
• Semester 1 Home assignments
  Includes several individual assignments.
• Autumn midterm
  Midterm examination for module 1 material.

Interim Assessment

• 2025/2026 2nd module
  0.29 * Autumn midterm + 0.2 * Semester 1 Home assignments + 0.51 * Winter Exam

Bibliography

Recommended Core Bibliography

• Vernimmen, P. (2011). Corporate Finance : Theory and Practice (Vol. 3rd ed). Chichester, West Sussex: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=398584

Recommended Additional Bibliography

• Financial markets and corporate strategy, Grinblatt, M., 2002

Authors

• Gen Zhuntsze
• PERMINOVA MARINA VLADIMIROVNA