TA: Nick Hirschey (Office: CBA 4.336 Phone: 471-1671)
|Week 1: June 20, 3pm||Firm Characteristics,||Assignment #1, Stock Characteristics
Due Tuesday, June 20
CLM, Ch. 1.
Tuesday, June 27, 3pm
Due Mon, June 26, noon
|Fama, E. and K. French, 1989, “Business Conditions and Expected Returns on Stocks and Bonds,” Journal of Financial Economics 25, 23-50.
Bossaerts, P., and P. Hillion, 1999,
Henkel, Martin, and Nardari (WP, 06)
CLM, Chapter 2
|Week 3: Friday, July 7, noon||Unconditional CAPM||Assignment #3, FM regressions,
Due Thurs. July 6, noon
|Black, F., Jensen, M. and M. Scholes, 1972, “The Capital Asset Pricing Model: Some Empirical Tests,” in M. Jensen ed., Studies in the Theory of Capital Markets. New York: Praeger. Fama, E. and J. MacBeth, 1973, “Risk, Return, and Equilibrium: Empirical Test,” Journal of Political Economy 91, 607-636. Fama, E. and K. French, 1992, “The Cross-Section of Expected Stock Returns,” Journal of Finance 57, 427-465
|Week 4: July 25, 12-4||APT||Assignment #4||Chen, N., Roll, R. and S. Ross, 1986, “Economic Forces and the Stock Market: Testing the APT and Alternative Asset Pricing Theories,” Journal of Business 59, 383-403. Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.|
|Week 5: Wed. Aug 2. 12-4||Mom/ OR||Assignment #5 Due Tuesday, Aug 1, noon.||DeBondt, W. and R. Thaler, 1985, “Does the Stock Market Overreact?” Journal of Finance 40, 793-805.
Jegadeesh, N. and S. Titman, 1993, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance 48, 65-91.
Jegadeesh, N. and S. Titman, 2001, “Profitability of Momentum Strategies: An Evaluation of Alternative Explanations.” Journal of Finance.
Momentum, Business Cycle and Time-Varying Expected Returns, with Lakshmanan Shivakumar, Journal of Finance, 2002, 57: 985-1019.
Griffin, John, Susan Ji, and Spencer Martin, 2003, “Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole”, December, Journal of Finance.
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