ECOM173 - Foundations in Asset Pricing - 2025/26

The course will be taught in two parts by George Skiadopoulos and Antoine Uettwiller, respectively. By the end of the course, students will have become familiar with standard tools used in theoretical and empirical asset pricing and have some knowledge of market microstructure models. Part I will cover the foundations of the expected utility paradigm, portfolio choice, the concept of the stochastic discount factor (SDF), and asset pricing models (CAPM, CCAPM, APT).  Applications from the empirical asset pricing literature will also be presented. Part II will extend Part I with intertemporal risks, ICAPM, bounds, and asset pricing puzzles, along with proposed solutions. It will also provide an overview of market microstructure models.