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1、HARVARDUNIVERSITY:DEPARTMENTOFECONOMICSEconomics2723:AssetPricingSyllabus08/10/14Fall2014Prof.JohnY.CampbellTuTh2.30-4.00pm,Sever110Littauer213,617-496-6448OfficehoursTuTh1.00-2.00pmjohn_campbell@harvard.edu____________________________________________________________
2、________________________Thiscourseisanintroductiontoassetpricing.Itbeginswithareviewofthetheoryofchoiceunderuncertainty,thendevelopsclassicalassetpricingtheoryindiscretetime.Italsodiscussesempiricalpuzzlesandrecenttheoriesthathavebeendevelopedtotrytosolvethem.Ec2723i
3、sanaturalintroductiontoothergraduatecoursesinfinance,includingthefallcourseEc2725,CorporateFinanceandBanking,taughtbyDavidScharfsteinandJeremyStein;andthespringcoursesEc2726,TheoreticalandEmpiricalPerspectivesonEntrepreneurship:EconomicsandFinance,taughtbyWilliamKerr
4、andJoshLerner;Ec2727,EmpiricalMethodsinCorporateFinance,taughtbyPaulGompers,SamHanson,VictoriaIvashina,andAdiSunderam;andEc2728,BehavioralFinance,taughtbyAndreiShleifer.RequirementsforcreditinEc2723includethreeassignmentsandafinalexam.Twooftheassignmentswillcontainco
5、mputationalexercises.Atleastoneassignmentwillincludea“refereereport”tobewrittenonanunpublishedassetpricingpaper.Ec2723isintendedforPhDstudentsineconomics,andIwillassumeknowledgeoffirst-yearPhDmicroeconomics,macroeconomics,andeconometrics.Undergraduatesinterestedinthi
6、sfieldshouldtakemyundergraduatecourseEc1723,CapitalMarkets.Thebookwillbetaughtusinganunpublishedmanuscript,FinancialDecisionsandMarkets:ACourseinAssetPricing.Iwillhandoutafreehardcopyofthemanuscripttoallstudentsregisteredinthecourse.Twopublishedbookswillalsobeused:Jo
7、hnH.Cochrane,AssetPricing,PrincetonUniversityPress,reviseded.,2005,andJohnY.CampbellandLuisM.Viceira,StrategicAssetAllocation:PortfolioChoiceforLong-TermInvestors,OxfordUniversityPress,2002.BoththesebooksareavailableattheHarvardCoop.Twootherbooksmayalsobeuseful:JohnY
8、.Campbell,AndrewLo,andA.CraigMacKinlay,TheEconometricsofFinancialMarkets,PrincetonUniversityPress,1997,andChristianGollier,TheEcono
