TEACHING
FINE-703: Empirical Asset PricingThis course covers a range of empirical studies of financial markets.
The main focus is on the asset pricing literature. The topics
in this area include time-series return predictability, cross-sectional
return anomalies, tests of single- and multi-factor risk-return
models, consumption-based asset pricing. Other related areas,
such as fund performance evaluation, some event studies, and the importance of investor behavior
will be discussed as well. The course covers several
methodological aspects in empirical asset pricing, in particular,
the concept of stochastic discount factor (SDF), GMM-based model estimation, and modern mean-variance
efficiency bounds.
Most of the asset pricing tests will be performed in both unconditional and conditional settings.
FINE-482: International FinanceThis course gives a survey of international financial markets and a
comprehensive introduction to the foundations of global finance including
but not limited to spot and forward exchange markets, international monetary
system, currency and interest rate risk management, and international
diversification. Such topics as global market integration and financial
crises will also be discussed.
FINE-660/480: Global Investment ManagementThis course familiarizes
students with major principles of international investments
and global asset allocation. It focuses on recent theoretical
and practical developments in modeling and predicting global
asset returns covering both unconditional and conditional approaches
in asset pricing. It also discusses main approaches to
stock selection, style investing, and special issues in international
investments such as indirect diversification and country and
industry effects in equity pricing.
FINE-665: Investment Strategies and Behavioral FinanceThis course familiarizes
students with a range of investment strategies, performance
evaluation, and the role of investor behavior in financial markets.
It consists of three parts. First, it contrasts the efficient
market hypothesis with the anomalies observed in the time-series
and cross-section of asset returns and relates these anomalies
to potential investment strategies. The second part is
devoted to performance evaluation of professional investors
such as mutual fund and hedge fund managers. Finally,
it discusses various aspects of investor psychology, such as
cognitive and group behavior biases and analyzes their impact
on investors’ trading and performance.
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