The SAFE Visitors Program organizes and cordially invites you to attend a PhD-level mini course on
Anomalies in the Cross Section of Stock Returns
Mihail Velikov, Assistant Professor of Finance, Penn State University
Course Description & Goals
This is a PhD-level course in empirical asset pricing. The course will focus on understanding anomalies in the cross-section of stock returns. The course will familiarize students with classic and contemporary papers in the empirical asset pricing literature. The specific focus of the course will be on anomalies. I will provide you with a comprehensive reading list that covers the most relevant papers for each of the topics discussed. I do not expect you to read or know all of the papers in the reading list (see the requirements below), but hopefully it will be a good reference for you.
The course will make heavy use of my “Assaying Anomalies” project and its associated github repository. Once set up, which I’ll demo and we’ll troubleshoot in the first class, you should be in a position to replicate basic asset pricing results using CRSP/COMPUSTAT in minutes.
Tentative Course Outline
Class 1: 11 June
Introduction; Logistics; MATLAB Package Demo; Cross-section of stock returns: CAPM to FF3
Class 2: 13 June
Behavioral finance: technical predictors (anomalies based on past performance) & limited attention anomalies; Investment & Profitability; Factor wars
Class 3: 14 June
Transaction
Schedule
11 June, 9:00 - 12:00, room HoF 1.27 (Dubai)
13 June, 9:00 - 12:00, room HoF 1.27 (Dubai)
14 June, 9:00 - 12:00, room HoF 1.27 (Dubai)
(three academic hours x45 min. on each day, the number and the length of the breaks will be discussed with the lecturer)
Please note that registration is required. The attendance is free of charge.
