Ioanid Rosu: BUS 35000

BUS 35909 - Topics in Asset Pricing
Spring 2006

Office:
Phone:
Fax:
E-mail:
Lectures:
Office Hours:

Hyde Park Center 512
(773) 834-1826
(773) 834-0944
irosu@ChicagoGSB.edu
Mon 4:00-7:00pm, HPC 08
By appointment

The University of Chicago Chalk (or Blackboard) system will be the main online environment we will use for this course. The present webpage is only a subset of what you can find on Chalk, and I only use it so that you can see the more important materials on the same page.
If you have not worked with Chalk before, here is a document on how to get started (e.g., obtain a login).

You can download the syllabus here, and the the course outline here.
- The old (initial) syllabus can be found here.
The TA for the course is Marcus Opp. E-mail: mopp@ChicagoGSB.edu.
The administrative assistant is Allison Harris, HPC 343, tel. (773) 834-2079. E-mail: aharris@ChicagoGSB.edu.

Markus K. Brunnermeier, Asset Pricing under Asymmetric Information: Bubbles, Crashes, Technical Analysis, and Herding, Oxford University Press, 2001.
Maureen O'Hara, Market Microstructure Theory, Blackwell, 1995.
Andrei Shleifer, Inefficient Markets: An Introduction to Behavioral Finance, Oxford University Press, 2000.

For each lecture after the first week, I will assign 3-4 papers to be discussed in class. Before class the students will submit a one-page write-up about these papers, as part of the Problem Sets (see below). The papers selected for each class will be the ones I consider the most important ones on a certain topic. The focus will be on theoretical papers, nevertheless empirical papers will be discussed as well.

There will be a problem set each week, to be posted after lecture. Each problem set will be composed of three parts:
1. Required: A few conceptual questions related to the material taught during that week.
2. Optional: Quantitative questions related to the material taught during that week. This is for the students who want to learn the material in more depth.
3. Required: A one-page write-up about the papers to be read for the next class. I will provide questions to help students organize the write-up. The length should be of at least half a page, but no more than one page. It should not be quantitative, but rather a subjective first reaction to the papers.

There are three ways of fulfilling this requirement:
1. A research paper to be written on a topic related to the class material. The topic can be chosen by the student, but I have to agree with it. The paper should typically include: (a) Introduction with motivation; (b) the development of a model; (c) its solution and prediction; (d) calibration or test of the model's implications. This option is designed to help the second-year students with their Curriculum Paper.
2. A project to be written after the student reads one major paper, and at least two minor papers in a related area. (By ``major'' paper I only mean that the project will focus on this particular paper.) The project should be similar to a referee report, except that it should focus on a question that the major and minor papers are trying to answer. Again, the topic/papers must be discussed with me. For example, as major paper you might choose Pastor and Stambaugh (2003), and as your minor papers you might choose Acharya and Pedersen (2005), and Chordia, Roll and Subrahmanyam (2000).
3. A final exam to be taken at home, with both qualitative and quantitative questions related to the course.

Class participation, problems sets, and final project/exam will count 10%, 20%, and 70% respectively.