FORMATIONS |
Fiche détaillée d'un cours
 | EMPIRICAL ASSET PRICING | ||
2018-2019 | FrIESEG School of Management
(
IÉSEG
)
| ||
Code Cours : | 1819-IÉSEG-M1S1-FIN-MA-EE45UE | FINANCE | |
| Niveau | Année de formation | Période | Langue d'enseignement |
|---|---|---|---|
| Master | 1 | S1 | FrEnglish |
| Professeur(s) responsable(s) | P.MAZZA |
|---|---|
| Intervenant(s) | P.MAZZA |
- Ce cours apparaît dans les formations suivantes :
- IÉSEG > IESEG Degree - Programme Grande École > Semester 1 > 2,00 ECTS
Pré requis
-Knowledge on how to use Bloomberg terminals
-Basic econometrics techniques (linear regressions)
-Some basic training with statistical software (EViews, SAS, or the like)
-Basic knowledge on financial markets theory (especialy the Capital Asset Pricing Model)
Objectifs du cours
At the end of the course, the student should be able to :
-Test and assess an asset pricing model
-Build a stock trading strategy based on market regularities and anomalies
-Back-test a trading strategy and calculate the expected profits
Contenu du cours
1) Review of asset pricing models (CAPM, multifactor models)
2) Market efficiency, market regularities and anomalies
3) How to build a trading strategy?
Modalités d'enseignement
Organisation du cours
| Type | Nombre d'heures | Remarques | |
|---|---|---|---|
| Independent work | |||
| Reference manual 's readings | 5,00 | ||
| Research | 5,00 | ||
| Independent study | |||
| Estimated personal workload | 6,00 | ||
| Group Project | 18,00 | ||
| Face to face | |||
| lecture | 16,00 | ||
| Charge de travail globale de l'étudiant | 50,00 | ||
Méthodes pédagogiques
- Interactive class
- Presentation
- Project work
- Research
Évaluation
Presentations and final project
| Type de Contrôle | Durée | Nombre | Pondération |
|---|---|---|---|
| Others | |||
| Group Project | 0,00 | 1 | 50,00 |
| presentation | |||
| statement | 0,00 | 1 | 50,00 |
| TOTAL | 100,00 | ||
Bibliographie
- John H. Cochrane, Asset Pricing (http://press.princeton.edu/titles/7836.html) -
Ressources internet
* Informations non contractuelles et pouvant être soumises à modification
