Hanno Lustig

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Management 239 C

Empirical Methods in Finance
- Syllabus
- Lecture 1: Consumption-based Asset Pricing
  
  Read Cochrane Chapters 1-3
- Lecture 2 (Part A): Stochastic Discount Factors, Mean Variance Fontiers
  
  Read Cochrane Chapters 4-6
- Lecture 2 (Part B): Contingent Claims Analysis
- Lecture 4: Factor Models
  
  Cochrane 6-7-8
- Lecture 5: GMM
- Lecture 6: Linear Factor Models
- Lecture 7
  
  Predictability of Returns
- Lecture 8: Return Predictability
Readings Mgmt 239c
- Lecture 1
  
  Intertemporal Asset Pricing without Consumption Data
- Lecture 1
  
  Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns
- Lecture 2
  
  Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth
- Lecture 2
  
  Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
- Lecture 2
  
  Affine Term Structure Models and the Forward Premium Anomaly
- Lecture 2
  
  Risks For The Long Run And The Real Exchange Rate
- Lecture 2
  
  International risk sharing is better than you think, or exchange rates are too smooth
- Lecture 4
  
  Jagannathan and Wang
- Lecture 4
  
  Lettau and Ludvigson
- Lecture 7
  
  Daniel and Titman
- Lecture 7
  
  The Dog that did not bark
Problem Sets Mgmt 239C
- Problem Set 1
  
  Due Friday January 23
- Problem Set 2
  
  Due January 30
- Problem Set 3
  
  Due February 14

Copyright © 2008, Hanno Lustig