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Unit information: Asset Pricing in 2021/22

Unit name Asset Pricing
Unit code ECONM2035
Credit points 15
Level of study M/7
Teaching block(s) Teaching Block 1 (weeks 1 - 12)
Unit director Professor. Stoja
Open unit status Not open
Pre-requisites

None

Co-requisites

None

School/department School of Accounting and Finance
Faculty Faculty of Social Sciences and Law

Description including Unit Aims

The way in which financial assets are priced is at the core of the theory of finance. This unit provides students with a rigorous foundation in modern asset pricing theory and an appreciation of the successes and shortcomings of that theory via an analysis of empirical work in the field. The unit begins with an exposition of mean-variance theory leading to a derivation of the Capital Asset Pricing model. Multi-factor models and Arbitrage Pricing Theory are considered next before students are introduced to some consumption-based asset pricing. There is then a review of empirical work evaluating these asset pricing models. The pricing of bonds and the term structure of interest rates are discussed next. Finally, students are introduced to the key features of various derivatives before the pricing of derivatives using absence of arbitrage techniques is presented. Due to the technical skills required for these topics, students should be comfortable with mathematics, statistics and econometrics.

Intended Learning Outcomes

This unit aims to give students the ability to derive and compare modern asset pricing paradigms, along with the ability to critically evaluate them via an understanding of the results of empirical work in the field. Having successfully completed this unit students should be able to:

  1. Derive and explain standard asset pricing theories including the CAPM and APT.
  2. Evaluate and compare the merits of these theories via an appreciation of empirical work in this area.
  3. Discuss the pricing of bonds and theories of the term structure of interest rates.
  4. Describe the basic features of various financial derivatives and derivatives markets.
  5. Employ simple absence of arbitrage techniques to price financial derivatives.

Teaching Information

Teaching will be delivered through a combination of synchronous and asynchronous sessions including lectures, tutorials, drop-in sessions, discussion boards and other online learning opportunities

Assessment Information

Summative assessment: Home examination: 100%. The examination will test the ability of students to critically analyse a range of issues on asset pricing as set out in ILOs 1-5. Formative assessment: One formative assignment on asset pricing overarching ILOs 1-5.

Resources

If this unit has a Resource List, you will normally find a link to it in the Blackboard area for the unit. Sometimes there will be a separate link for each weekly topic.

If you are unable to access a list through Blackboard, you can also find it via the Resource Lists homepage. Search for the list by the unit name or code (e.g. ECONM2035).

How much time the unit requires
Each credit equates to 10 hours of total student input. For example a 20 credit unit will take you 200 hours of study to complete. Your total learning time is made up of contact time, directed learning tasks, independent learning and assessment activity.

See the Faculty workload statement relating to this unit for more information.

Assessment
The Board of Examiners will consider all cases where students have failed or not completed the assessments required for credit. The Board considers each student's outcomes across all the units which contribute to each year's programme of study. If you have self-certificated your absence from an assessment, you will normally be required to complete it the next time it runs (this is usually in the next assessment period).
The Board of Examiners will take into account any extenuating circumstances and operates within the Regulations and Code of Practice for Taught Programmes.

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