Undergraduate Studies
Academic Year 2025-26
Asset Pricing
Files and Links
- Course Outline .pdf (Greek)
- Course Outline .pdf (English)
- Full Description @courses.xrh
- Link to e-class
5th or 7th Semester
ΧΡΑΑΞ01
Course id
7,5
ECTS
Special background
Course type
The course covers the theory of asset pricing with special emphasis on the consumption-based asset pricing model. It provides a systematic overview of Consumption CAPM, ICAPM, APT and Factor models. Special emphasis is given on empirical asset pricing. The lectures are based on a set of notes and academic articles.
- Search for, analysis and synthesis of data and information, with the use of the necessary technology
- Decision-making
- Working in an international environment
- Production of free, creative and inductive thinking
- Introduction: Prices, returns and discount rates [notes]
- Present value models [notes]
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- 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 (empirical applications)
- Asset pricing [C, ch. 1, notes, articles]
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- Stochastic Discount Factors and basic CCAPM
- Applications of the CCAPM
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- 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
- Multifactor models [C, ch. 2, 6, 9, notes]
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- CAPM, ICAPM, APT
- The role of information: Conditional vs unconditional models [notes, C, ch. 8, Jagannathan and Wang (1996)]
- Long-run CCAPM [notes]
- Empirical applications: Cross-sectional tests of CAPM, CCAPM, long-run CCAPM.
