Course Fin 7335, Section 001, Empirical Asset Pricing

Professor Yexiao Xu
Term Fall 2008
Meetings Monday, 9:30-12:15PM

Professor’s Contact Information

Office Phone (972)883-6703
Office Location SM 3.812 (School of Management Building)
Email Address yexiaoxu@utdallas.edu
Office Hours Monday 3:00-4:00PM and Tuesday 6:30-7:30PM
Lecture notes and homework assignment will be distributed in class. Data can
Other
Information
be downloaded from my webpage: http://www.utdallas.edu/~yexiaoxu
Grades will be posted on WebCT, but I do not read WebCT mail!

General Course Information

Pre-requisites Meco 7320 and Fin 7310 (Asset Pricing)
This course provides an introduction to both empirical issues and empirical
methods with regard to asset pricing. One can never falsify a theory within
the boundary of its assumptions when correctly established. The empirical
challenge is to provide evidence either to support or to “reject” the theory. In
practice, the supporting evidence for one theory could also be consistent with
the prediction of another theory. The question is whether the evidence is
more consistent with the current theory than the alternative theory. Therefore,
careful specifications and sophisticated econometric techniques are needed in
order to eliminate other possibilities. There are too many topics in this area.
We will focus on testing theories of asset price determination, with particular
attention to exploring the interplay between economic theory, statistical
Course assumptions, and relevant econometric techniques. In particular, we will start
Description with understanding the return process and how it should behave in an efficient
market. We will then move onto testing the classical CAPM theory in both
the unconditional form and the conditional form. Perhaps the most elegant
model in asset pricing is the consumption based CAPM. We will investigate
how the theory fairs against reality. Any asset pricing model can be
represented by the so-called stochastic discount factor model. It is important
to know if there are any restrictions on the characteristics of the stochastic
discount factor given the observed return process. Volatility plays an
important role in asset pricing (including derivate pricing), portfolio
allocation, and risk management. We will take a close look at the dynamic
behavior of volatility. If time permits, we will discuss some of the more
advanced techniques.
1. Understand the empirical issues in the area of asset pricing; and possess
working knowledge to understand current literature
Learning 2. Derive testable implications for asset pricing models; and implement
Outcomes efficient tests under different circumstance
3. Assess key issues and techniques in each of the following three areas: 1)
Return predictability; 2) Testing the CAPM; 3) The Conditional models
Required Texts
The Econometrics of Financial Markets, Campbell, Lo, and MacKinlay
& Materials
Suggested Texts, William H. Greene, ECONOMETRIC ANALYSIS
 Readings, & James D. Hamilton, Time Series Analysis
Materials John Cochrane, Asset Pricing

Assignments & Academic Calendar

Course Organization and Econometrics Review
Aug. 25 Asymptotic theory, violations to regression model assumptions, maximum likelihood
Lecture 1 estimator, generalized method of moments
Green: Chapter 12.4, 17, 18, Appendices A-D
Stock Return Characteristics
Sep. 08 Blattberg and Gonedes (1974), Campbell (1991), Richardson and Smith (1994),
Lecture 2 Tauchen and Pitts (1983)
Campbell, Lo, and MacKinlay: Chapter 1
Return Predictability—Short Run
Boudoukh, Richardson, and Whitelaw (1994), Campbell and Shiller (1988), Lo
Sep. 15
and MacKinlay (1988), Conrad and Kaul (1988), Lewellen (2004), Stambaugh
Lecture 3
(1999), Lettau and Ludvigson (2001)
Campbell, Lo, and MacKinlay: Chapter 2
Return Predictability—Long Run
Poterba and Summers (1988), Fama and French (1988), Kirby (1997), Boudoukh,
Sep. 22
Michaely, Richardson, and Roberts (2006), Ferson, Sarkissian, and Simin (2003),
Lecture 4
Pastor and Stambaugh (2007), Baranchuk and Xu (2008)
Campbell, Lo, and MacKinlay: Chapter 2
Event Study
Sep. 29 Barber and Lyon (1997), Brown and Warner (1985), Mitchell and Stafford (2000),
Lecture 5 Kothari and Warner (2004)
Campbell, Lo, and MacKinlay: Chapter 4
Testing the unconditional CAPM—Time-series approach
Oct. 06 Gibbons, Ross, and Shanken (1989), Gibbons and Ferson (1985), Fama and
Lecture 6 French (1993)
Campbell, Lo, and MacKinlay: Chapter 5
Testing the unconditional CAPM—Cross-sectional approach
Oct. 13 Fama and MacBeth (1974), Fama and French (1992), Kothari, Shanken, and Sloan
Lecture 7 (1995), Roll (1977), Malkiel and Xu (2005), Petkova (2006)
Campbell, Lo, and MacKinlay: Chapter 5
Oct. 20 Midterm exam
Testing the conditional CAPM
Oct. 27 Ferson and Harvey (1991), Jagannathan and Wang (1996), Ferson and Schadt
Lecture 8 (1996), Lewellen and Nagel (2006)
Campbell, Lo, and MacKinlay: Chapter 5
Value, growth, and liquidity
Nov. 03 Campbell and Vuolteenaho (2004), Lakonishok, Shleifer, and Vishny (1994),
Lecture 9 Petkova and Zhang (2005), Amihud (2001), Pastor and Stambaugh (2003),
Acharya and Pedersen (2005)
Consumption based CAPM
Nov. 10 Lucas (1978), Hansen and Singleton (1982), Breeden, Gibbons, and Litzenberger
Lecture 10 (1989), Campbell and Cochrane (2000), Parker and Julliard (2005)
Campbell, Lo, and MacKinlay: Chapter 8
Equity premium puzzle and HJ bound
Nov. 17 Campbell and Cochrane (1999), Mehra and Prescott (1985), Kocherlakota (1996),
Lecture 11 Hansen and Jagannathan (1997)
Campbell, Lo, and MacKinlay: Chapter 8
 Conditional volatility
Nov. 24
Engle (1982), Bollerslev (1986), Nelson (1991)
Lecture 12
Campbell, Lo, and MacKinlay: Chapter 12
Dec. 01
Lecture 13
Other Methodologies (Bootstrap, Bayesian, Markov Regime Switch)
Dec. 08 Final (Class Presentation)

Reading List
Reading List
Acharya, V. V., and Lasse Heje Pedersen (2005), “Asset pricing with liquidity
risk,” Journal of Financial Economics 77, 375-410.

Amihud, Yakov (2002), “Illiquidity and stock returns: cross-section and time-
series effects,” Journal of Financial Markets 5, 31-56.

Barber, B.M., and Lyon, J. D. (1997), “Detecting Long-Run Abnormal Stock

Returns: The Empirical Power and Specification of Test Statistics,” Journal of
Financial Economics 43, 341-372.

Blattberg, R., and Gonedes, N. (1974), “A Comparison of the Stable and

Student Distributions as Statistical Models for Asset Prices,” Journal of
Business 47(2), 244-280.

Bollerslev, Tim (1986), “Generalized Autoregressive Conditional

Heteroskedasticity,” Journal of Econometrics 31, 307-327.

Boudoukh, Jacob, Roni Michaely, Richardson, Matthew, and Michael R.

Roberts (2007), “On the Importance of Measuring Payout Yield: Implications
for Empirical Asset Pricing,” Journal Finance 7, 539-573.

Boudoukh, J., Richardson, M.P., and Whitelaw, R.F. (1994), “A Tale of Three
Schools: Insights on Autocorrelations of Short-Horizon Stocks,” Review of
Financial Studies 62, 877-915.

Baranchuk, Nina and Yexiao Xu (2008), “On the Persistence of Capital

Structure – Reinterpreting What We Know,” Working Paper, The University
of Texas at Dallas.

Breeden, D., Gibbons, M., and Litzenberger, R. (1989), “Empirical Tests of

the Consumption-Oriented CAPM,” Journal of Finance 44, 231-262.

Brown, S., and J. Warner (1985), “Using Daily Stock Return,” Journal of
Financial Economics 14, 3-31.

Campbell, J. (1991), “A Variance Decomposition for Stock Returns,”

Economic Journal 101, 157-79.

Campbell, John Y., and Shiller, Robert J. (1988), “Stock Prices, Earnings, and
Expected dividends,” Journal of Finance 43, 661-76.

Campbell, J., Cochrane, J. (1999), “By Force of Habit: A Consumption-based

Explanation of Aggregate Stock Market Behavior,” Journal of Political
Economy 107(2), 205-251.

Campbell, J., Cochrane, J. (2000), “Explaining the Poor Performance of

Consumption-based Asset Pricing Models,” Journal of Finance 55, 2863-78.

Campbell, J. Y., Lo, A. W., MacKinlay, A. C. (1997), The Econometrics of

Financial Markets, Princeton University Press, Princeton, NJ.

Campbell, J. and Tuomo Vuolteenaho (2004), “Bad Beta, Good Beta,”

American Economic Review 94, 1249-75.

Cochrane, J. H. (2001), Asset Pricing, Princeton University Press, Princeton,

NJ.

Constantinides, G. (1990). “Habit Formation: A Resolution of the Equity

Premium Puzzle,” Journal of Political Economy 98(3), 519-543.

Conrad, J. and Kaul, Gautam (1988), “Time-Variation in Expected Return,”

Journal of Business 61, 409-425.

Engle, Robert (1982), “Autoregressive Conditional Heteroskedasticity with

Estimates of the Variance of UK Inflation,” Econometrica 50, 987-1008.

Epstein, L., Zin, S. (1991) “Substitution, Risk Aversion and the Temporal
Behavior of Consumption and Asset Returns: An Empirical Analysis,”
Journal of Political Economy 99, 263-286.

Fama, E., and French, K. (1988), “Permanent and Temporary Components of

Stock Prices,” Journal of Political Economy 96, 246-273.

Fama, E., and French, K. (1992), “The Cross-Section of Expected Stock

Returns,” Journal of Finance 47, 427-465.

Fama, E., and French, K. (1993), “Common Risk Factors in the Returns on
Stocks and Bonds,” Journal of Financial Economics 33, 3-56.

Fama, E. and J. MacBeth (1973), “Risk, Return and Equilibrium: Empirical

Tests,” Journal of Political Economy 81, 607-636.

Ferson, Wayne E., and Harvey, Campbell R. (1991), “The Variation of

Economic Risk Premiums,” Journal of Political Economy 99, 385-415.

Ferson, W., and Schadt, R. (1996), “Measuring Fund Strategy and

Performance in Changing Economic Conditions,” Journal of Finance 51, 425-
461.

Ferson, Wayne E., Serg Ei Sarkissian, and Timothy T. Simin (2003),

“Spurious Regressions in Financial Economics,” Journal of Finance 58,
1393-413.

Fleming, Jeff, Kirby, Chris, and Ostdiek, Barbara (2001), “The Econometric
Value of Volatility Timing,” Journal of Finance 56, 329-352.

Gibbons, M. R., Ross, S., Shanken, J. (1989), “A Test of the Efficiency of a

Given Portfolio,” Econometrica 57(5), 1121-1152.

Hansen, L. (1982), “Large Sample Properties of Generalized Method of

Moments Estimators,” Econometrica 50, 1029-1286.

Hansen, Lars Peter, and Jagannathan, Ravi (1991), “Implications of Security

Market Data for Models of Dynamic Economies,” Journal of Political
Economy 99 225-62.

Hansen, Lars Peter; Heaton, John; and Jagannathan, Ravi (1997), “Assesing
Specification Errors in Stochastic Discount Factor Models,” Journal of
Finance, 52(2), 557-590.

Hansen, L., Singleton, K. (1982), “Generalized Instrumental Variables

Estimation of Nonlinear Rational Expectations Models,” Econometrica 50,
1269-1286.

______, (1983), “Stochastic Consumption, Risk aversion, and the Temporal

Behavior of Asset Returns,” Journal of Political Economy.

Jagannathan, Ravi, and Z. Wang (1996), “The Conditional CAPM and the
Cross-Section of Expected Returns,” Journal of Finance, Vol. 51, 3-53

Kirby, Chris (1997), “Measuring the Predictable Variation in Stock and Bond
Returns,” Review of Financial Studies 10, 579-630.

Kocherlakota, Narayanna R. (1996), “The Equity Premium: It’s Still a

Puzzle,” Journal of Economic Literature 34, 42-71.

Kothari, S. P., Shanken, Jay, and Sloan, Richard G. (1995), “Another look at
the cross-section of expected stock returns,” Journal of Finance 50, 185-224.

Kothari, S. P. and Jerold B. Warner (2004), “Econometrics of Event Studies,”

Handbook of Corporate Finance: Empirical Corporate Finance, edt. B.
Espen Eckbo, Elsevier: North-Holland.

Lakonishok, Josef, Andrei Shleifer, and Robert W. Vishny (1994),

“Contrarian Investment, Extrapolation, and Risk,” Journal of Finance 49,
1541-78.

Lettau, Martin, and Sydney Ludvigson (2001), “Consumption, Aggregatie

Wealth, and Expected Stock Returns,” Journal of Finance 56, 815-849.
Lewellen, Jonathan (2004), “The conditional CAPM does not explain asset-
pricing anomalies,” Journal of Finance 74, 209-235.

Lewellen, Jonathan and Stefan Nagel (2006), “Predicting Returns with

Financial Ratios,” Journal of Financial Economics 82, 289-314.

Lo, A. W., and Mackinlay, A. C. (1988), “Stock Market Prices Do Not Follow
Random Walks: Evidence from a Simple Specification Test,” Review of
Financial Studies 1, 41-66.

Lucas, R. (1978), “Asset Prices in an Exchange Economy,” Econometrica 46,

1429-1445.

Mehra, R., Prescott, E. C. (1985) “The Equity Premium: A Puzzle,” Journal

of Monetary Economics 15, 145-161.

Nelson, Daniel B. (1991), “Conditional Heteroskedasticity in Asset Returns:

A New Approach,” Econometrica 59, 347-370.

Newey, Whitney K. and Kenneth D. West (1987), “A Simple, Positive Semi-

Definite, Heteroskedasticity and Autocorrelation Cinsistent Covariance
Matrix,” Econometrica 55, 703-708

Parker, Jonathan A., and Christian Julliard (2005), “Consumption Risk and
the Cross Section of Expected Returns,” Journal of Political Economics 113,
185-222.

Pastor, Lubos, and Robert F. Stambaugh (2003), “Liquidity Risk and

Expected Stock Returns,” Journal of Political Economics 111, 642-685.

Pastor, Lubos, and Robert F. Stambaugh (2007), “Predictive Systems,”

Working Paper, University of Chicago.

Petkova, Ralitsa (2006), “Do the Fama–French Factors Proxy for

Innovations in Predictive Variables?” Journal of Finance, 61, 581-612.

Petkova, Ralitsa, and Lu Zhang (2005), “Is value riskier than growth?”
Journal of Financial Economics 78, 187-202.

Poterba, James, and Lawrence J. Summers (1988), “Mean Reversion in Stock

Prices: Evidence and Implications,” Journal of Financial Economics 22, 27-
59.

Richardson, Smith, (1994), “A Unified Approach to Testing for Serial

Correlation in Stock Returns,” Journal of Business 67(3), 371-399.

Roll, Richard R. (1977), “A Critique of the Asset Pricing Theory’s Tests: Part
I: On Past and Potential Testability of the Theory,” Journal of. Financial
Economics 4, 129-76.
 Roll, Richard R., and Ross, Stephen A. (1980), “An Empirical Investigation
of the Arbitrage Pricing Theory,” Journal of Finance 35, 1073-1103.

Ross, Stephen A (1976), “The Arbitrage Theory of Capital Asset Pricing,”

Journal of Economic Theory 13, 341-60.

Stambaugh, Robert F. (1999), “Predictive regressions,” Journal of Financial

Economics 54, 375-421.

Tauchen, G., Pitts (1983), “The Price Variability-Volume Relationship on

Speculative Markets,” Econometrica 51(2), 485-506.

Sharpe, William (1964), “Capital Asset Prices: A Theory of Market

Equilibrium under Conditions of Risk,” Journal of Finance 19, 425-42.

Weil, Philippe (1989), “The Equity Premium Puzzle and the Risk-Free Rate
Puzzle,” Journal of Monetary Economics 24, 401-421.

Course Policies
Problem Sets 30%
Grading (credit)
Criteria
Midterm Examination 30%
Final Examination 40%
Make-up Exams No make-up exams!
Extra CreditNo extra credit
Late Work Do not accept late homework in any circumstance
Special Assignments No
Not enforced but strongly encouraged. You will be responsible for all
Class Attendance
the materials discussed in class.
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Strongly encourage class discussion
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 University of Texas at Dallas
School of Management
Fin 7335 Prof. Yexiao Xu
Section 001 Fall 2008

About Yourself

In order for me to better organize the course, and to adapt the materials to your
background, would you please tell me more about yourself?
Your Name ___________________________
Your Phone Number ____________________
Your Email Address ____________________
(Please send me an email with your full name, so that I can compile a mailing list)
Your Job_________________________________________________________________

Your Background
Finance Class_______________________________________________________
Economics Class_____________________________________________________
Accounting Courses__________________________________________________
Statistics and Math Courses____________________________________________
Other related Courses ________________________________________________
Survey:
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etc.?
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