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Lesson details

EMPIRICAL ASSET PRICING
2018-2019	EnIESEG School of Management ( IÉSEG )
Class code :	1819-IÉSEG-M1S1-FIN-MA-EE45UE	FINANCE

Level	Year	Period	Language of instruction
Master	1	S1	EnEnglish

Academic responsibility	P.MAZZA
Lecturer(s)	P.MAZZA

IÉSEG > IESEG Degree - Programme Grande École > Semester 1 > 2,00 ECTS

Prerequisites

-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)

Learning outcomes

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

Course description

1) Review of asset pricing models (CAPM, multifactor models)
2) Market efficiency, market regularities and anomalies
3) How to build a trading strategy?

Class type

Class structure

Type of course	Numbers of hours	Comments
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
Total student workload	50,00