Module Specifications..
Current Academic Year 2024  2025
Please note that this information is subject to change.
 
Repeat examination 

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 , riskreturn 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, FamaFrench 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 online 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  
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. Discretetime stochastic processes. Random Walk, Martingale, Technical Analysis and Present Value models. The discount rate and other measures, riskfree rate , complete and incomplete markets. Efficient markets hypothesis (EMH). Mean  Variance Uncertainty Mean Variance theory of portfolio selection. Riskfree asset, Markowitz frontier, indifference curves. Utility functions, quadraticlinear 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, FamaFrench 3 factor, Carhart 4factor, FamaFrench 5factor. Arbitrage Pricing Theory (APT). Productionbased and Incomebased asset pricing. Asset Prices and disequilibrium in financial markets. Speculation and disequilibrium in financial markets. Behavioural Finance  overview and empirical review  
 
Indicative Reading List
 
Other Resources None  
Programme or List of Programmes
 
Archives: 
