The workshop is based on recent research papers and the main topics will include the cross-section and time-series of stock returns, financial frictions, intermediary asset pricing, as well as uses of machine learning and textual analysis in finance. In addition, the students' own research papers in the general area of empirical asset pricing will be discussed.
Participants will be introduced to the research frontier in empirical asset pricing by reading and discussing recent research papers. The workshop requires previous knowledge of the classic literature in empirical asset pricing, including a solid understanding of factor models, time-series and cross-sectional regressions, and the Generalized Method of Moments. The workshop has two main parts. In the first part, we will discuss recent research in empirical asset pricing. The goal is to give students an overview of what the current outstanding questions are in the field. The second part of the workshop is centered on student presentations of their own (preliminary) research. Each student will present their own research, which then will be discussed by the students and the lecturer. The goal here is to give each student valuable feedback on both the presentation itself and on the research project in a friendly environment.
The workshop is aimed at dissertation-stage PhD students. Faculty participation is also welcome, including presentation (in the second part of the workshop) of own research to obtain feedback.