ICM289-Advanced Finance Theory with Empirical Applications

Module Provider: ICMA Centre
Number of credits: 20 [10 ECTS credits]
Level:7
Terms in which taught: Summer term module
Pre-requisites:
Non-modular pre-requisites:
Co-requisites:
Modules excluded:
Current from: 2022/3

Module Convenor: Prof Marcel Prokopczuk
Email: m.prokopczuk@icmacentre.ac.uk

Type of module:

Summary module description:

• Overview of asset pricing topics, risk aversion and premium


• Stochastic discount factor (SDF)


• Mean-variance and beta pricing


• CAPM and APT


• Contingent claims/Arrow-Debreu securities


• Empirical asset pricing methodologies

Aims:

This module is designed for advanced Master’s students and doctoral students. It has a very high technical content. It aims to equip the students with the foundations of theoretical asset pricing and with the relevant skills for performing empirical tests. The objective of the module is to prepare students to become independent and quality researchers.

Assessable learning outcomes:

Intended learning outcomes:

By the end of this module, students should be able to

• Derive analytically the basics of the consumption-based asset pricing model.


• Explain the working of this model.


• Command advanced tools for quality empirical research.


• Critically discuss and evaluate empirical research papers.

Additional outcomes:

Outline content:

• Overview of asset pricing topics, risk aversion and premium


• Stochastic discount factor (SDF)


• Mean-variance and beta pricing


• CAPM and APT


• Contingent claims/Arrow-Debreu securities


• Empirical asset pricing methodologies

Brief description of teaching and learning methods:

Lectures cover major theories of asset pricing. It is also discussed, how the theory is empirically implemented and tested.

Summative assessment- Examinations:

One project. 2500 words. Submission date in the last week of August.

Summative assessment- Coursework and in-class tests:

One MCQ. 60 Minutes. Will take place in the 2 weeks after the last lecture has been delivered.

Formative assessment methods:

Penalties for late submission:

Penalties for late submission on this module are in accordance with the University policy. Please refer to page 5 of the Postgraduate Guide to Assessment for further information:

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Assessment requirements for a pass:

A minimum mark of 50% for Master’s students and 60% for doctoral students.

Reassessment arrangements:

Re-submission of the project

Additional Costs (specified where applicable):

Last updated: 22 September 2022