MSc Accounting and Finance

This course introduces major asset pricing models for students to understand the behaviour of asset prices and returns. We will primarily examine the following key questions: 1) Why stocks earn different returns? 2) How does risk premium link to the macroeconomy? 3) Does there exist a unified way to represent valuation of assets? To answer these questions, we will begin with the standard capital asset pricing model and introduce factor pricing models, ranging from the traditional Fama-French three factor model to very recent developments. The second part of the course introduces concepts of general equilibrium and discusses how the stochastic discount factor and asset prices are determined in general equilibrium and how asset prices are linked to macroeconomic conditions.

BMAN71111 Programme Req: BMAN71111 is only available as a core unit to students on MSc Accounting & Finance and MSc Finance

• The course unit aims to introduce basic concepts and mainstream thoughts of popular asset pricing models.
• The course unit also aims to strengthen students' understanding of the way in which asset pricing models are constructed and related empirical evidence.

On completion of this unit successful students should have:

• An understanding of the basic theoretical foundations of the mainstream asset-pricing models.
• Systematic knowledge and understanding of both theoretical and empirical issues at the forefront of research and practice in asset pricing.
• An understanding of limitations of different models.
• Appreciate alternative viewpoints on asset pricing issues.
• The methods of assessment for this unit allow students to demonstrate achievement of all intended learning outcomes.

Written examination (100%) 

Students have the opportunity to meet the teaching staff during their office hours. They could also arrange separate meetings with the teaching staff outside their office hours. In each week of the teaching semester, practice questions are available for students to prepare for the assessment.

 

Main text:

Elton, E., M., Gruber, S., Brown, and W., Goetzmann, Modern Portfolio Theory and Investment Analysis: International Student Version, John Wiley & Sons; 8th International student edition (5 Mar 2010) ISBN-10: 9780470505847; ISBN-13: 978-0470505847

Additional readings are downloadable from the online Blackboard of the University of Manchester.

Informal Contact Methods

Office Hours