ESRC Advanced Training Programme in Asset Pricing

25-29 June 2012, Xfi, University of Exeter, England

The Xfi Centre for Finance and Investment at University of Exeter, is offering a one-week residential advanced training course on asset pricing, lead by Professors Abhay Abhyankar (University of Edinburgh), Avanidhar Subrahmanyam (UCLA), Ralph Koijen (University of Chicago) and George Jiang (University of Arizona). The local organiser is Dr Grzegorz Trojanowski. This workshop is funded by the Economic and Social Research Council of Great Britain (ESRC), and is particularly aimed at, but not limited to, doctoral candidates and early career researchers in finance and economics.

COURSE DETAILS: Each day will comprise four sessions (two in the morning and two in the afternoon). The course will provide an overview of asset pricing paradigms (EMH, CAPM, APT, ICAPM and CCAPM, behavioral models, etc.) and a discussion of recent developments in this area. In particular, it will examine properties of asset prices and returns as well as empirical tests of asset pricing models. Theoretical models of asset pricing with information asymmetry and empirical methods to measure information asymmetry will also be discussed. The syllabus will also include the discussion of return predictability, of risk pricing across maturities for equities and fixed income, and of its implications for corporate investment and asset pricing. Finally, a few special topics such as market microstructure and investment performance evaluation will be introduced.

REGISTRATION/FURTHER INFORMATION: Registration fees for full-time postgraduate research students will be a nominal British Pound 100 plus accommodation charges. A limited number of free accommodation places funded by the ESRC will also be available to members of this group based at UK universities. The fee is British Pound 200 plus accommodation charges for other academics and British Pound 500 plus accommodation charges for other participants.

Further details and registration forms can be found at: http://xfi.exeter.ac.uk/esrc_rdi_workshops. Enquiries should be directed to Maggie Bishop: m.l.bishop@exeter.ac.uk