1. Introduction: Prices, returns and discount rates [notes]
2. Present value models [notes]
• Constant discount factors
• Valuation of bonds
• Valuation of stocks
• Data Generating Models of prices and dividends
• Gordon growth model
• Time-varying discount factors
• Log-linear approximation of returns
• Campbell-Shiller variance decompositions
• The predictive ability of the dividend-price ratio
3. Asset pricing [C, ch. 1, notes, articles]
• Stochastic Discount Factors and basic CCAPM
4. Applications of the CCAPM
• Risk free rate
• Risk adjustment on asset prices
• Expected return, risk quantity and price of risk
• Variation of SDF and efficient frontier of the economy
• The equity premium puzzle
• The risk free rate puzzle

5. Multifactor models [C, ch. 2, 6, 9, notes]
• CAPM, ICAPM, APT
• Cross-sectional tests of CAPM.
6. The role of information: Conditional vs unconditional models [notes, C, ch. 8, Jagannathan and Wang (1996)]
7. CCAPM with Epstein-Zin utility [notes]
8. Empirical asset pricing: cross-section tests of CAPM, CCAPM and long-run CCAPM

The course aims at providing a deeper knowledge of the way asset prices and risk premia are determined in financial markets. To this end, it provides a systematic overview of the present value model with fixed, time-varying and stochastic discount factors. Special emphasis is given to the basic consumption CAPM and how it relates to the present value class of models. Based on the consumption CAPM, we derive a number of well-known asset pricing models such as the CAPM, the intertemporal CAPM, the APT and multifactor models. Finally, the course provides an overview of empirical asset pricing.

Retrieve, analyze and synthesize data and information, with the use of necessary technologies
Decision making
Work in an international context
Advance free, creative and causative thinking

Language of evaluation: Greek

Method of evaluation: 100% written exam

1. Lecture Notes (free access at the site of the Department)
2. John Cochrane (2001), Asset Pricing, Princeton University Press (C).
3. Journal Articles:
• Campbell, J.Y. (1996): Understanding Risk and Return. Journal of Political Economy, 104, 298-345.
• Campbell, J. (2000): Asset Pricing at the Millenium, The Journal of Finance vol. LV, No. 4, pp. 1515-1566.
• Campbell, J.Y. and J.H. Cochrane (2000): Explaining the Poor Performance of Consumption-Based Asset Pricing Models. The Journal of Finance, LV, 2863-2878.
• Cochrane, J. H. (1997): Where is the Market Going? Uncertain Facts and Novel Theories. Economic Perspectives, Federal Reserve Bank of Chicago.
• Cochrane, J. H. (1999): New facts in finance. Economic Perspectives, Federal Reserve Bank of Chicago.
• Cochrane, John H., (2007): Financial Markets and the Real Economy, in Rajnish Mehra, Ed. Handbook of the Equity Premium Elsevier 2007.
• Cochrane, John H., (2008): “The dog that did not bark: A defense of return predictability “Review of Financial Studies 21 (4) 1533-1575.
• Cochrane, John H., (2011): Discount rates, Journal of Finance 66, 1047-1108.
• Lettau, M. and S. Ludvigson (2001): Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption. CEPR Discussion Paper No 3104.
• Lettau, M. and S. Ludvigson (2001a): Measuring and Modelling Variation in the Risk-Return Trade-Off. CEPR Discussion Paper No. 3105.
• Jagannathan, R. and Z. Wang (1996): The Conditional CAPM and the Cross-Section of Expected Returns. The Journal of Finance, LI, 3-53.

– Συναφή επιστημονικά περιοδικά:
Journal of Finance, Review of Financial Studies, Journal of Financial Economics, CEPR Discussion Papers, Investment Bank Research.