Course unit details:
Asset Pricing
Unit code | BMAN71111 |
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Credit rating | 15 |
Unit level | FHEQ level 7 – master's degree or fourth year of an integrated master's degree |
Teaching period(s) | Semester 1 |
Available as a free choice unit? | No |
Overview
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.
Pre/co-requisites
Aims
- 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.
Learning outcomes
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.
Assessment methods
Written examination (100%)
Feedback methods
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.
Recommended reading
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.
Study hours
Scheduled activity hours | |
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Assessment written exam | 3 |
Lectures | 30 |
Independent study hours | |
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Independent study | 122.5 |
Teaching staff
Staff member | Role |
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Hening Liu | Unit coordinator |
Additional notes
Informal Contact Methods
Office Hours