ULMS Electronic Module Catalogue
The information contained in this module specification was correct at the time of publication but may be subject to change, either during the session because of unforeseen circumstances, or following review of the module at the end of the session. Queries about the module should be directed to the member of staff with responsibility for the module.
Title Empirical Asset Pricing
Code ULMR804
Coordinator Dr A Kagkadis
Finance and Accounting
A.Kagkadis@liverpool.ac.uk
Year CATS Level Semester CATS Value
Session 2023-24 Level 8 FHEQ Second Semester 15

Pre-requisites before taking this module (other modules and/or general educational/academic requirements):
ACFI901 Financial Econometrics 

Modules for which this module is a pre-requisite:
 

Programme(s) (including Year of Study) to which this module is available on a required basis:
 

Programme(s) (including Year of Study) to which this module is available on an optional basis:
 

Teaching Schedule
  Lectures Seminars Tutorials Lab Practicals Fieldwork Placement Other TOTAL
Study Hours 24

 12

         36
Timetable (if known)              
Private Study 114
TOTAL HOURS 150

Assessment
EXAM Duration Timing
(Semester)		 % of
final
mark		 Resit/resubmission
opportunity		 Penalty for late
submission		 Notes
             
CONTINUOUS Duration Timing
(Semester)		 % of
final
mark		 Resit/resubmission
opportunity		 Penalty for late
submission		 Notes
Individual research essay Reassessment Opportunity: Yes. Penalty for Late Submission: Standard UoL penalty applies Anonymous Assessment: Yes  0    50       
Individual research paper presentation Reassessment Opportunity: Yes Penalty for Late Submission: Standard UoL Penalty Applies Anonymous Assessment: No  60    30       
2-4 Problem sets Reassessment Opportunity: Yes Penalty for Late Submission: Standard UoL Penalty Anonymous Assessment: Yes  0    20       

Aims

This module aims to:

Provide students with understanding of empirical asset pricing;

Develop knowledge and skills in formulating and testing asset pricing models and theories;

Prepare students in evaluating the impact of empirical asset pricing research for financial markets.

Learning Outcomes

(LO1) Students will be able to critically evaluate empirical asset pricing studies in finance.

(LO2) Students will be able to formulate, estimate, and interpret empirical tests of asset pricing theories.

(LO3) Students will be able to communicate research ideas and empirical results in a succinct and clear manner.

(LO4) Students will be able to discuss the economic significance of their empirical result for financial market participants.

(S1) Research skills.
Students will develop research skills by learning about state-of-the-art research techniques and questions.

(S2) Problem solving skills.
Students will be challenged to think critically about current issues in capital markets. They will do this by gathering and synthesising information, analysing alternative perspectives and options, and presenting a considered opinion or course of action in their assessment.

(S3) Communication skills.
Students will have opportunities to develop communication skills through classroom discussions, presentations, and coursework.

(S4) IT skills.
Students will develop IT skills through data manipulation in the seminar, and the coursework assignment.

(S5) Numeracy.
Students will be required to demonstrate a good level of numerical application across the syllabus through the assessments set.

(S6) Lifelong learning.
The module will embed key empirical research skills and an awareness to state-of-the-art techniques that continue to grow as students continue on their PhD journey.

(S7) Commercial awareness.
The course will be delivered by reference to real-world data. Students will be required to gauge the implications and impacts of their empirical results for the business world. Students will also be required to discuss their commercial experiences in group tasks, where appropriate.

Teaching and Learning Strategies

Lectures x 24 hours (2 hours per week)

Seminars x 12 hours (1 hour per week)

Self-directed learning x 114 hours
Self-directed learning hours will be spent on class preparation and revision of the weekly topics, research activity in preparation for the research essay, practice on the academic writing skills, and wider reading to support the module.

Syllabus
 

Empirical methods in asset pricing;

The cross-section of stock returns;

Return anomalies in various asset classes;

Cost of trading and liquidity risk;

Predictability of risk premia;

Volatility modelling ;

Alternative data in asset pricing.

Recommended Texts
Reading lists are managed at readinglists.liverpool.ac.uk. Click here to access the reading lists for this module.