Course Announcements

Course Outline

Discussion assignments

Homework #1, Due 4/16/2008

Homework #2, Due 4/23/2008

Homework #3, Due 4/30/2008

Homework #4, Due 5/14/2008

Homework #5, Due 5/28/2008

Course Grades

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Lecture 1 Excerpts [Schwert]

Lecture 2 Excerpts [Schwert]

Lecture 3 Excerpts [Schwert]

Capital Markets Research in Accounting [Tang]

• Capital Markets Research in Accounting

Stock Returns, Aggregate Earnings Surprises, & Behavioral Finance [Jaiswall]

• Stock Returns, Aggregate Earnings Surprises, & Behavioral Finance

ARIMA(0,1,1) Models

• ARIMA(0,1,1) Models

Inflation & Interest Rates

• Inflation & Interest Rates

Financial Markets and the Real Economy [Page]

• Financial Markets and the Real Economy

Consumption-Based Asset Pricing [Misirli]

• Consumption-Based Asset Pricing

Bansal-Yaron [Matveyev]

• Bansal-Yaron

Kandel-Pearson [Fang]

• Kandel-Pearson

Do Fama-French Factors Proxy for Innovations in Predictive Variables? [Kornienko]

Accruals Quality [Gudell]

• Accruals Quality

Lecture Notes on GARCH models [PDF file]

Introduction to GARCH in Eviews

• Introduction to GARCH in Eviews

GARCH & Implied Volatility

• GARCH & Implied Volatility

Excerpts from Hamilton and Schwert papers on regime-switching [PDF file]

Excerpts from Pagan & Schwert paper on Volatility "Horse Race" [PDF file]

Lecture Notes on Fama-French Anomalies JFin paper [PDF file]

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Ken French's Data Library

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Last Updated on 5/19/2008