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Module Specifications..

Current Academic Year 2023 - 2024

Please note that this information is subject to change.

Module Title Asset Pricing
Module Code EF5156
School DCUBS
Module Co-ordinatorSemester 1: Claire Kearney
Semester 2: Claire Kearney
Autumn: Claire Kearney
Module TeachersClaire Kearney
NFQ level 9 Credit Rating 7.5
Pre-requisite None
Co-requisite None
Compatibles None
Incompatibles None
Repeat examination

The aim of this course is to provide students with a thorough foundation in the principles of the theory of financial asset pricing. It will consider perspectives from the academic literature as well as from professional practice. It will analyse and critique various classes of asset pricing models and theory. It will start with utility theory , risk-return characteristics of different assets and their relationship with different risk measure. Students will develop an appreciation of asset pricing and portfolio diversification leading to the development of the Capital Asset Pricing Model and associated models, as well as Arbitrage Pricing Theory, Fama-French 3 and 5- factor models, and Behavioural Finance. This module is delivered through a combination of weekly lectures and tutorials. Students are expected to attend lectures, to contribute to tutorials and to engage in on-line learning and research activities on a regular basis. In tutorials students will discuss solutions to problem sets and as well as expert articles. Students may also be required to work on a collaborative basis in groups for example in the case of continuous assessment.

Learning Outcomes

1. Describe and apply fundamental principles and concepts in finance
2. Appraise the relationship between risk and return
3. Critically assess the literature of financial theory
4. Explain and critique the principal theories of asset pricing

Workload Full-time hours per semester
Type Hours Description
Lecture36Formal Lectures & Interactive Classroom
Independent Study45Directed readings & problem sets
Directed learning71.5Independent study - Exam Preparation
Directed learning35Continuous Assessment Assignment preparation
Total Workload: 187.5

All module information is indicative and subject to change. For further information,students are advised to refer to the University's Marks and Standards and Programme Specific Regulations at: http://www.dcu.ie/registry/examinations/index.shtml

Indicative Content and Learning Activities

Introduction to Asset Pricing
Introduction to asset pricing, behaviour and characteristics of asset prices. Discrete-time stochastic processes. Random Walk, Martingale, Technical Analysis and Present Value models. The discount rate and other measures, risk-free rate , complete and incomplete markets. Efficient markets hypothesis (EMH).

Mean - Variance Uncertainty
Mean -Variance theory of portfolio selection. Risk-free asset, Markowitz frontier, indifference curves. Utility functions, quadratic-linear representations and diminishing marginal utility.

Utility Theory
Utility Theory. expected utility, risk aversion. Risk aversion and the risk premium. HRRA, CRRA and Power Utility Function.

Asset Pricing Models
Asset Pricing Models, CAPM, Consumption CAPM, ICAPM, Fama-French 3 -factor, Carhart 4-factor, Fama-French 5-factor. Arbitrage Pricing Theory (APT). Production-based and Income-based asset pricing.

Asset Prices and disequilibrium in financial markets.
Speculation and disequilibrium in financial markets. Behavioural Finance - overview and empirical review

Assessment Breakdown
Continuous Assessment60% Examination Weight40%
Course Work Breakdown
TypeDescription% of totalAssessment Date
In Class TestIn Class Test25%n/a
Reassessment Requirement Type
Resit arrangements are explained by the following categories;
1 = A resit is available for all components of the module
2 = No resit is available for 100% continuous assessment module
3 = No resit is available for the continuous assessment component
This module is category 1
Indicative Reading List

  • Cochrane: 2009, Asset Pricing, 3, 1-5, Princeton,
  • Hull: 2011, Options, Futures and other Derivatives, 7,
  • Munk, Claus: 2013, Financial Asset Pricing Theory, 1st, Oxford University Press, 978-0-19-8716
Other Resources

Programme or List of Programmes
MFCMMSc in Finance

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