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Teaching/Finance/Readings
Finance · Course 05

Readings

Financial theory, asset pricing, corporate finance and financial econometrics.

Readings are listed by session. Core textbooks for the whole course are listed at the end.

Lecture 1: Returns, Risk, and the Foundations of Asset Pricing

Cochrane, Asset Pricing; Bodie, Kane and Marcus, Investments.

Lecture 2: Risk, Probability, and Expected Utility

Pratt (1964); Arrow, Essays in the Theory of Risk-Bearing; Cochrane, Asset Pricing.

Lecture 3: Mean-Variance Portfolio Theory and the Efficient Frontier

Markowitz (1952); Merton (1972); Bodie, Kane and Marcus, Investments.

Lecture 4: CAPM, Beta, and Empirical Factor Models

Sharpe (1964); Lintner (1965); Fama and French (1993, 2015); Campbell, Lo and MacKinlay.

Lecture 5: Arbitrage Pricing, Stochastic Discount Factors, and No-Arbitrage

Ross (1976); Cochrane, Asset Pricing.

Lecture 6: Fixed-Income Securities, Bond Pricing, and Yield Curves

Tuckman and Serrat, Fixed Income Securities; Fabozzi, Bond Markets, Analysis, and Strategies.

Lecture 7: Duration, Convexity, Immunization, and Term Structure

Tuckman and Serrat, Fixed Income Securities; Diebold and Li (2006).

Lecture 8: Forwards, Futures, Options, and Swaps

Hull, Options, Futures, and Other Derivatives; Shreve, Stochastic Calculus for Finance I.

Lecture 9: Corporate Finance: Capital Budgeting and Project Valuation

Berk and DeMarzo, Corporate Finance; Brealey, Myers and Allen, Principles of Corporate Finance.

Lecture 10: Capital Structure, Leverage, and Payout Policy

Modigliani and Miller (1958, 1963); Myers (1984); Berk and DeMarzo, Corporate Finance.

Lecture 11: Market Efficiency, Information, Governance, and Event Studies

Fama (1970); MacKinlay (1997); Shleifer and Vishny (1997).

Lecture 12: Banking, Financial Intermediation, and Systemic Risk

Diamond and Dybvig (1983); Freixas and Rochet, Microeconomics of Banking; Basel Committee standards.

Lecture 13: Financial Risk Management: VaR, Expected Shortfall, and Stress Testing

Jorion, Value at Risk; McNeil, Frey and Embrechts, Quantitative Risk Management.

Lecture 14: Behavioral Finance: Beliefs, Preferences, and Market Outcomes

Kahneman and Tversky (1979); Barberis and Thaler (2003); Shleifer, Inefficient Markets.

Lecture 15: Empirical Finance and Financial Econometrics

Campbell, Lo and MacKinlay, The Econometrics of Financial Markets; Engle (1982); Bollerslev (1986); Tsay, Analysis of Financial Time Series.

Core textbooks

  • Bodie, Kane and Marcus, Investments.
  • Berk and DeMarzo, Corporate Finance.
  • Cochrane, Asset Pricing.
  • Hull, Options, Futures, and Other Derivatives.
  • Campbell, Lo and MacKinlay, The Econometrics of Financial Markets.
  • Tuckman and Serrat, Fixed Income Securities.
  • McNeil, Frey and Embrechts, Quantitative Risk Management.