Module Specifications.
Current Academic Year 2024 - 2025
All Module information is indicative, and this portal is an interim interface pending the full upgrade of Coursebuilder and subsequent integration to the new DCU Student Information System (DCU Key).
As such, this is a point in time view of data which will be refreshed periodically. Some fields/data may not yet be available pending the completion of the full Coursebuilder upgrade and integration project. We will post status updates as they become available. Thank you for your patience and understanding.
Date posted: September 2024
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Repeat examination |
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Description 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. | |||||||||||||||||||||||||||||||||||||||||||
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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 | |||||||||||||||||||||||||||||||||||||||||||
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 |
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Indicative Content and Learning Activities
Introduction to Asset PricingIntroduction 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 UncertaintyMean -Variance theory of portfolio selection. Risk-free asset, Markowitz frontier, indifference curves. Utility functions, quadratic-linear representations and diminishing marginal utility.Utility TheoryUtility Theory. expected utility, risk aversion. Risk aversion and the risk premium. HRRA, CRRA and Power Utility Function.Asset Pricing ModelsAsset 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 | |||||||||||||||||||||||||||||||||||||||||||
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Indicative Reading List
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Other Resources None | |||||||||||||||||||||||||||||||||||||||||||