This course develops modern asset pricing theory and provides students with an in-depth knowledge of asset pricing models. It explains how to use discrete-time and continuous-time models. We preview the classic issues in finance and think about asset pricing in a simple economic equilibrium. We study contingent claims and learn how to value them using discount factors. We explore the mean-variance frontier and beta representations, and study the classic linear models such as CAPM, ICAPM and APT. We value options and bonds, learn about portfolio theory and explore the intersection of asset pricing and macro-economics. In-class learning is augmented with tailored homework assignments, the reading, presentation and discussion of related frontier research, and a hands-on, research-focused final project that prepares students for independent future work. 

Learning Outcomes

Upon successful completion, students will have the knowledge and skills to:

1. Discuss the main theoretical concepts and empirical methods of modern asset pricing;
2. Critically review previous literature in asset pricing;
3. Derive testable hypotheses in asset pricing and methods to test them; and,
4. Communicate in detail various topics of modern asset pricing to a diverse audience.

Research-Led Teaching

Lecture notes and text book material will be supplemented with the related state-of-the-art research papers.

Required Resources

I will provide students with all presentation materials required for this course.

Recommended Resources

The recommended text is Cochrane, John H., 2001, “Asset Pricing,” Princeton University Press, Princeton, New Jersey. It is available in the Chifley library on 2-day loan.

Staff Feedback

Students will be given feedback in the following forms in this course:

• written comments
• verbal comments

Student Feedback

ANU is committed to the demonstration of educational excellence and regularly seeks feedback from students. Students are encouraged to offer feedback directly to their Course Convener or through their College and Course representatives (if applicable). Feedback can also be provided to Course Conveners and teachers via the Student Experience of Learning & Teaching (SELT) feedback program. SELT surveys are confidential and also provide the Colleges and ANU Executive with opportunities to recognise excellent teaching, and opportunities for improvement.

Class Schedule

Week/Session	Summary of Activities	Assessment
1	An introduction to continuous-time models	Assignment 1 handed out. Due date is August 11, 2023.
2	Facts, basic models and classic issues in finance
3	Valuation of contingent claims	Assignment 1 due.
4	Discount factors	Assignment 2 handed out. Due date is September 1, 2023.
5	Mean-variance frontier
6	Factor pricing models	Assignment 2 due.
7	Time to catch up and review	Assignment 3 handed out. Due date is October 6, 2023.
8	Option pricing
9	Term structure modelling
10	Portfolio theory	Assignment 3 due.Final project task handed out and presentation topics assigned. Presentations take place in the last week of classes. The due date for the final project is November 17, 2023.
11	Asset pricing and macro-economics
12	Student presentations	Presentations

Tutorial Registration

ANU utilises MyTimetable to enable students to view the timetable for their enrolled courses, browse, then self-allocate to small teaching activities / tutorials so they can better plan their time. Find out more on the Timetable webpage.

Assessment Summary

Assessment task	Value	Due Date	Return of assessment	Learning Outcomes
Assignment 1	10 %	11/08/2023	27/08/2023	1,2,3,4
Student presentations	7 %	14/08/2023	18/08/2023	1,2,3,4
Assignment 2	10 %	01/09/2023	17/09/2023	1,2,3,4
Student presentations	7 %	18/09/2023	22/09/2023	1,2,3,4
Assignment 3	10 %	06/10/2023	22/10/2023	1,2,3,4
Student presentations	7 %	09/10/2023	13/10/2023	1,2,3,4
Student presentations	9 %	26/10/2023	26/10/2023	1,2,3,4
Final project	40 %	17/11/2023	30/11/2023	1,2,3,4

* If the Due Date and Return of Assessment date are blank, see the Assessment Tab for specific Assessment Task details

Policies

ANU has educational policies, procedures and guidelines , which are designed to ensure that staff and students are aware of the University’s academic standards, and implement them. Students are expected to have read the Academic Integrity Rule before the commencement of their course. Other key policies and guidelines include:

• Academic Integrity Policy and Procedure
• Student Assessment (Coursework) Policy and Procedure
• Extenuating Circumstances Application
• Student Surveys and Evaluations
• Deferred Examinations
• Student Complaint Resolution Policy and Procedure
• Code of practice for teaching and learning

Assessment Requirements

The ANU is using Turnitin to enhance student citation and referencing techniques, and to assess assignment submissions as a component of the University's approach to managing Academic Integrity. For additional information regarding Turnitin please visit the Academic Skills website. In rare cases where online submission using Turnitin software is not technically possible; or where not using Turnitin software has been justified by the Course Convener and approved by the Associate Dean (Education) on the basis of the teaching model being employed; students shall submit assessment online via ‘Wattle’ outside of Turnitin, or failing that in hard copy, or through a combination of submission methods as approved by the Associate Dean (Education). The submission method is detailed below.

Moderation of Assessment

Marks that are allocated during Semester are to be considered provisional until formalised by the College examiners meeting at the end of each Semester. If appropriate, some moderation of marks might be applied prior to final results being released.

Participation

Course content delivery will take the form of weekly on-campus lectures.

Examination(s)

There is no final exam in this course. 

Assessment Task 1

Assignment 1

Assignments are take-home tasks to be completed individually. Some assignments may require basic programming. A complete report as well as appendices such as programming codes need to be submitted. These assignments are designed to practise the concepts developed in the lecture in a research-near setting. Assignments are handed out two weeks prior to the due date. This assessment item will be submitted via Turnitin in Wattle.

Assessment Task 2

Student presentations

Each student is to present a research paper assigned to them. Order of presentation: random. Length of each presentation: 20min. Slides to be prepared: Yes. Papers will be assigned two weeks before the presentations. Presentations are assessed both on content and clarity of delivery. Students need to be able to identify the main contribution of the research paper they are presenting, describe that contribution in non-technical terms, and answer follow-up questions from the instructor or audience. Presentations will be recorded using Zoom. 

Assessment Task 3

Assignment 2

Assignments are take-home tasks to be completed individually. Some assignments may require basic programming. A complete report as well as appendices such as programming codes need to be submitted. These assignments are designed to practise the concepts developed in the lecture in a research-near setting. Assignments are handed out two weeks prior to the due date. This assessment item will be submitted via Turnitin in Wattle.

Assessment Task 4

Student presentations

Each student is to present a research paper assigned to them. Order of presentation: random. Length of each presentation: 20min. Slides to be prepared: Yes. Papers will be assigned two weeks before the presentations. Presentations are assessed both on content and clarity of delivery. Students need to be able to identify the main contribution of the research paper they are presenting, describe that contribution in non-technical terms, and answer follow-up questions from the instructor or audience. Presentations will be recorded using Zoom. 

Assessment Task 5

Assignment 3

Assignments are take-home tasks to be completed individually. Some assignments may require basic programming. A complete report as well as appendices such as programming codes need to be submitted. These assignments are designed to practise the concepts developed in the lecture in a research-near setting. Assignments are handed out two weeks prior to the due date. This assessment item will be submitted via Turnitin in Wattle.

Assessment Task 6

Student presentations

Each student is to present a research paper assigned to them. Order of presentation: random. Length of each presentation: 20min. Slides to be prepared: Yes. Papers will be assigned two weeks before the presentations. Presentations are assessed both on content and clarity of delivery. Students need to be able to identify the main contribution of the research paper they are presenting, describe that contribution in non-technical terms, and answer follow-up questions from the instructor or audience. Presentations will be recorded using Zoom. 

Assessment Task 7

Student presentations

Each student is to present a research paper related to their final project. Order of presentation: random. Length of each presentation: 45min. Slides to be prepared: Yes. Papers will be assigned two weeks before the presentations. Presentations are assessed both on content and clarity of delivery. Students need to be able to identify the main contribution of the research paper they are presenting, describe that contribution in non-technical terms, answer follow-up questions from the instructor or audience, and explain how their project will extend the existing paper. Presentations will be recorded using Zoom. 

Assessment Task 8

Final project

The final project will involve replication and/or extension of research related to the material covered in class. The tasks involved may include (i) data gathering and preparation, (ii) basic programming, (iii) statistical analysis of data, and (iv) interpretation of findings in economic terms. The final project will be undertaken individually. Detailed instructions for the final project task are handed out in Week 10. This assessment item will be submitted via Turnitin in Wattle.

Academic Integrity

Academic integrity is a core part of the ANU culture as a community of scholars. The University’s students are an integral part of that community. The academic integrity principle commits all students to engage in academic work in ways that are consistent with, and actively support, academic integrity, and to uphold this commitment by behaving honestly, responsibly and ethically, and with respect and fairness, in scholarly practice.

The University expects all staff and students to be familiar with the academic integrity principle, the Academic Integrity Rule 2021, the Policy: Student Academic Integrity and Procedure: Student Academic Integrity, and to uphold high standards of academic integrity to ensure the quality and value of our qualifications.

The Academic Integrity Rule 2021 is a legal document that the University uses to promote academic integrity, and manage breaches of the academic integrity principle. The Policy and Procedure support the Rule by outlining overarching principles, responsibilities and processes. The Academic Integrity Rule 2021 commences on 1 December 2021 and applies to courses commencing on or after that date, as well as to research conduct occurring on or after that date. Prior to this, the Academic Misconduct Rule 2015 applies.

 

The University commits to assisting all students to understand how to engage in academic work in ways that are consistent with, and actively support academic integrity. All coursework students must complete the online Academic Integrity Module (Epigeum), and Higher Degree Research (HDR) students are required to complete research integrity training. The Academic Integrity website provides information about services available to assist students with their assignments, examinations and other learning activities, as well as understanding and upholding academic integrity.

Online Submission

You will be required to electronically sign a declaration as part of the submission of your assignment. Please keep a copy of the assignment for your records. Unless an exemption has been approved by the Associate Dean (Education) submission must be through Turnitin.

Hardcopy Submission

For some forms of assessment (hand written assignments, art works, laboratory notes, etc.) hard copy submission is appropriate when approved by the Associate Dean (Education). Hard copy submissions must utilise the Assignment Cover Sheet. Please keep a copy of tasks completed for your records.

Late Submission

Late submission not permitted. If submission of assessment tasks without an extension after the due date is not permitted, a mark of 0 will be awarded.

Referencing Requirements

The Academic Skills website has information to assist you with your writing and assessments. The website includes information about Academic Integrity including referencing requirements for different disciplines. There is also information on Plagiarism and different ways to use source material.

Returning Assignments

Assignments will be graded and returned on Wattle via TurnitIn.

Extensions and Penalties

Extensions and late submission of assessment pieces are covered by the Student Assessment (Coursework) Policy and Procedure. Extensions may be granted for assessment pieces that are not examinations or take-home examinations. If you need an extension, you must request an extension in writing on or before the due date. If you have documented and appropriate medical evidence that demonstrates you were not able to request an extension on or before the due date, you may be able to request it after the due date.

Privacy Notice

The ANU has made a number of third party, online, databases available for students to use. Use of each online database is conditional on student end users first agreeing to the database licensor’s terms of service and/or privacy policy. Students should read these carefully. In some cases student end users will be required to register an account with the database licensor and submit personal information, including their: first name; last name; ANU email address; and other information.
In cases where student end users are asked to submit ‘content’ to a database, such as an assignment or short answers, the database licensor may only use the student’s ‘content’ in accordance with the terms of service – including any (copyright) licence the student grants to the database licensor. Any personal information or content a student submits may be stored by the licensor, potentially offshore, and will be used to process the database service in accordance with the licensors terms of service and/or privacy policy.
If any student chooses not to agree to the database licensor’s terms of service or privacy policy, the student will not be able to access and use the database. In these circumstances students should contact their lecturer to enquire about alternative arrangements that are available.

Distribution of grades policy

Academic Quality Assurance Committee monitors the performance of students, including attrition, further study and employment rates and grade distribution, and College reports on quality assurance processes for assessment activities, including alignment with national and international disciplinary and interdisciplinary standards, as well as qualification type learning outcomes.

Since first semester 1994, ANU uses a grading scale for all courses. This grading scale is used by all academic areas of the University.

Support for students

The University offers students support through several different services. You may contact the services listed below directly or seek advice from your Course Convener, Student Administrators, or your College and Course representatives (if applicable).

• ANU Health, safety & wellbeing for medical services, counselling, mental health and spiritual support
• ANU Access and inclusion for students with a disability or ongoing or chronic illness
• ANU Dean of Students for confidential, impartial advice and help to resolve problems between students and the academic or administrative areas of the University
• ANU Academic Skills and Learning Centre supports you make your own decisions about how you learn and manage your workload.
• ANU Counselling Centre promotes, supports and enhances mental health and wellbeing within the University student community.
• ANUSA supports and represents all ANU students