FINAN 7830-001:  Empirical Asset Pricing

    • Syllabus
    • Weekly paper presentation sign-up sheet is here
    • Examples of presentation Powerpoints are here

    Class reading list (with downloadable files):

Class 1:How to be a successful research professor

Chance, D. 2005,  Academic Finance as a Career, working paper, Louisiana State University.

 Heck, Jean L., 2006, Establishing a Pecking Order for Finance Academics:Ranking of U.S. Finance Doctoral Programs, working paper, Saint Joseph’s University.

 Swidler S, Goldreyer E, 1998, The value of a finance journal publication, The Journal of Finance, Vol. 53, No. 1. pp. 351-363.

Class 2: How to write a good paper

Cochrane, J., 2005, Writing Tips for Ph. D. Students, working paper, University of Chicago.

Good paper examples?: paper 1, paper 2, paper 3

Referee report example 1, referee report example 2, response to referee report 2.

JFE tips for authors and TAR comments on contributions

Spiegal, M., 2012, Reviewing Less - Progressing More, Review of Financial Studies, Vol 25, 1331-1338.



Background reading. The capital asset pricing model (CAPM) and The Arbitrage Pricing Theory. Read these papers. We will not explicitly discuss these papers in class.


William Sharpe, 1964, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk,” Journal of Finance.

Eugene Fama and James Macbeth, 1973, “Risk, Return, and Equilibrium: Empirical Tests”, Journal of Political Economy 81:607-636.

Richard Roll and Stephen Ross, 1980, “An Empirical Examination of the Arbitrage Pricing Theory,” Journal of Finance 35: 1073-1103.

Dhrymes, Friend, and Gultekin, 1984, “A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory,” Journal of Finance 39, 323-346.

Nai-Fu Chen, Richard Roll, and Stephen Ross, 1986, “Economic Forces and the Stock Market,” Journal of Business 59: 383-403.

Class 3: Market Efficiency – A Review

Eugene Fama, 1991, “Efficient Capital Markets II,” Journal of Finance 46: 1575-1617.

Schwert, G. W., 2003. Anomalies and market efficiency. In: Constantinides, G., Harris, M., Stulz, R. (Eds.), Handbook of the Economics of Finance. North-Holland, Amsterdam, pp. 937-972.

Cochrane, J., 2011, Presidential Address: Discount Rates, Journal of Finance, 66, 1047-1108.

Class 4: Predictability - Lagged Returns; Short-horizon

Cooper, M, 1999, “Filter Rules Based on Price and Volume in Individual Security Overreaction,” Review of Financial Studies, Vol. 12, No. 4.

Avromov, D., T. Chordia and A. Goyal, 2006, Liquidity and Autocorrelation in Individual Stock Returns, Journal of Finance 61, 2365-2394.

Gutierrez , R. and E. Kelley, 2007, The Long-Lasting Momentum in Weekly Returns, Journal of Finance, Journal of Finance 63, 415-447.

Class 5: Predictability - Lagged Returns; Intermediate and Long-horizon

Narasimhan Jegadeesh and Sheridan Titman, 1993, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance 48: 65-91.

DeBondt, W. and R. Thaler, 1985, Does the Stock Market Overreact?, Journal of Finance, 40, 793-805.

Cooper, Gutierrez  and Hameed, “Market States and Momentum,” 2004, The Journal of Finance, Volume 59, 1345-1365, 2004.

Class 6: The cross-section of stock returns: risk or mispricing I

 Lakonishok, J., A. Shleifer, and R. Vishny, 1994, Contrarian Investment, Extrapolation, and Risk, Journal of Finance 49, 1541-1578.

Fama, Eugene F., and Kenneth R. French, 1996, Multifactor Explanations of Asset Pricing Anomalies, Journal of Finance 51, 55-84.

Daniel, K., and S. Titman, 1997, “Evidence on the Characteristics of Cross Sectional Variation in Stock Returns,” Journal of Finance 52, 1-34

Class 7: The cross-section of stock returns: risk or mispricing II

Liew, Jonathan, and Maria Vassalou, 2000, Can Book-to-Market, Size and Momentum be Risk Factors that Predict Economic Growth?, Journal of Financial Economics 57, 221-245.

Petkova, Ralitsa, and Lu Zhang, 2005, Is Value Riskier than Growth?, Journal of Financial Economics, 78, 187-202.

Cooper, M. and S. Gubellini, 2011, “The Critical Role of Conditioning Information in Determining if Value is Really Riskier than Growth,” with Stefano Gubellini, Journal of Empirical Finance,18, 289–305.  

Class 8: Anomalies

Cooper, M., H. Gulen and M. Schill, 2008, Asset Growth and the Cross-Section of Stock Returns, Journal of Finance, 63, 1609-1651.

Fama, E., and K. French, 2006, Dissecting anomalies, Journal of Finance, 63,1653-1678

Stambaugh, Robert, Jianfeng Yu, and Yu Yuan, 2012, The short of it: Investor sentiment and anomalies, Journal of Financial Economics.  

 Class 9: Political connections and stock returns

Faccio, Mara, 2006, Politically connected firms, American Economic Review 96, 369 – 386.

Ansolabehere, Stephen, James M. Snyder Jr., and Michiko Ueda, 2004, Did Firms Profit from Soft Money?, Election Law Journal, 3, 193 -198.

M. Cooper, H. Gulen and A. Ovtchinnikov, 2010, “Corporate Political Contributions and Stock Returns,” The Journal of Finance, 65, 687-724.

Class 10: News and returns

Chan, Wesley S., 2003, Stock Price Reaction to News and No-News: Drift and Reversal after Headlines, Journal of Financial Economics 70, pp 223-260.

Tetlock, Paul C., 2007, Giving Content to Investor Sentiment: The Role of Media in the Stock Market, Journal of Finance 62, 1139-1168.

Tetlock, Paul C., 2010, Does Public Financial News Resolve Asymmetric Information?, Review of Financial Studies, 23. 3520-3557.

Class 11: Data-Snooping

Foster, F. D., T. Smith, and R. Whaley, 1997, Assessing the Goodness-of-Fit of Asset Pricing Models: The Distribution of the Maximal R2, Journal of Finance 52, 591-607.

Conrad, J., M. Cooper, and G. Kaul, 2003, Value versus Glamour, Journal of finance, 58, 1969-1995.

Harvey, C., Y. Liu, and H. Zhu, 2013, ...and the cross-section of expected returns, working paper, Duke University.







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