Topics in Asset Pricing Lecture Notes
This note
covers the following topics: From CAPM to market anomalies, Credit risk
implications for the cross section of asset returns, Rational versus behavioural
attributes of stylized cross-sectional effects, Conditional CAPM, Conditional
versus unconditional portfolio efficiency, Multi-factor models, Interpreting
factor models, Machine learning methods in asset pricing: Lasso, Ridge, elastic
net, group Lasso, Neural Network, and Random Forest, Panel regressions with
fixed effects and their association with market-timing and cross-section,
investment strategies, Consumption based asset pricing models, The discount
factor representation in asset pricing, The equity premium puzzle, The risk free
rate puzzle, The Epstein-Zin preferences.
Author(s): Professor Doron Avramov
248 Pages