Finance 7870 Empirical Methods in Finance

Syllabus

Useful Data Links
Wharton WRDS
Ken French's Web Page
Federal Reserve

Class Schedule

CLM=Campbell, Lo, and MacKinlay

Date

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Assignment

Background	CLM Chapter 1 and Cochrane Review	Slides: Statistics Review Slides: Chapter 1 Slides: Fun Facts With Returns  Spreadsheet Slides: Asset Pricing Review Background Problem Set Data for Background Problem Set Sample SAS Program for Background Problem Set SAS Program for Bootstrapping
Week 1	Return Predictability CLM Chapter 2	Problem set 1 Daily index returns (from CRSP) Daily country returns Weekly country returns Monthly country returns Variance ratio program Slides: Chapter 2 Slides: Chapter 2 (set 2) Slides: Chapter 2 (set 3)
Week 2	Lo Mamaysky and Wang (2000, JF) Reinganum (1981, JFE) Keim (1983, JFE) Debondt and Thaler (1985, JF) Jegadeesh and Titman (1993, JF) GrinBlatt and Moskowitz (1999, JF) Fama and French (1992, JFE)	Problem set 2 Fama French 92 SAS program Fama French 25 size and BM returns Fama French 25 portfolios average size Fama French 25 portfolios average BM Fama French Factors
Week 3	CLM Chapters 5 and 6 CLM Appendix A1 and A2	Slides: Review of maximum likelihood estimation Slides: Chapter 5--Derivation of CAPM Slides: Chapter 5--Statistical Tests of CAPM
Week 4	Gibbons Ross and Shanken (1989) Fama and Macbeth (1973) Black Jensen and Scholes (1972) Fama and French (1993, JFE) Fama and French (1996, multifactor explanations) Daniel and Titman (1997, JF)	Slides: Chapter 6--Multifactor Pricing Models Problem set 3 Program template: GRS (1989) Tests
Week 5	CLM chapter 8 Hansen and Jagannathan (1991) Shiller (Volatility) Ferson and Harvey (1992) Jagannathan and Wang (1996) Harvey (1989) Ferson et al. (2000, JFM)	Slides: GMM and the CAPM Program template: GMM example fitting a t-distribution Data: data file for GMM example Program template GMM asset pricing tests Program template GMM tests of conditional models Size Decile Returns FF-Research factors Macro variables Slides: Chapter 8--Intertemporal Equilibrium Models Slides: Jaganathan and Wang (1996) Program template JW CAPM tests 100 size beta portfolio returns VW index returns Prem and labor variables Slides: Summaries of Asset Pricing Papers Program: Ferson Harvey (1992) CCAPM
Week 6	CLM chapter 4	Slides: Chapter 4--Event Studies Problem set on event studies Data on Equity Issues
Week 7	Prabhala (1997) Barber and Lyon (1997) Mitchell and Stafford (1999) Fama (2000, JFE) Loughran and Ritter (2000, JFE)	Final exam TBD