ICM289: Advanced Finance Theory with Empirical Applications
Module code: ICM289
Module provider: ICMA Centre; Henley Business School
Credits: 20
Level: Postgraduate Masters
When you'll be taught: Summer (vacation) semester
Module convenor: Professor Marcel Prokopczuk, email: m.prokopczuk@icmacentre.ac.uk
Pre-requisite module(s):
Co-requisite module(s):
Pre-requisite or Co-requisite module(s):
Module(s) excluded:
Placement information: NA
Academic year: 2024/5
Available to visiting students: No
Talis reading list: No
Last updated: 28 May 2024
Overview
Module aims and purpose
This module is designed for advanced Master’s students and doctoral students. It has a very high technical content. It aims to equip the students with the foundations of theoretical asset pricing and with the relevant skills for performing empirical tests. The objective of the module is to prepare students to become independent and quality researchers.
Module learning outcomes
By the end of the module, it is expected that students will be able to:
- Derive analytically the basics of the consumption-based asset pricing model.
- Explain and critically discuss this model.
- Command advanced tools for quality empirical research.
Module content
- Overview of asset pricing topics, risk aversion and premium
- Stochastic discount factor (SDF)
- Mean-variance and beta pricing
- Contingent claims/Arrow-Debreu securities
- Factor models
- Empirical asset pricing methodologies
Structure
Teaching and learning methods
Lectures cover major theories of asset pricing. It is also discussed, how the theory is empirically implemented and tested.
Study hours
At least 20 hours of scheduled teaching and learning activities will be delivered in person, with the remaining hours for scheduled and self-scheduled teaching and learning activities delivered either in person or online. You will receive further details about how these hours will be delivered before the start of the module.
Scheduled teaching and learning activities | Semester 1 | Semester 2 | Summer |
---|---|---|---|
Lectures | 20 | ||
Seminars | 6 | ||
Tutorials | |||
Project Supervision | |||
Demonstrations | |||
Practical classes and workshops | |||
Supervised time in studio / workshop | |||
Scheduled revision sessions | |||
Feedback meetings with staff | |||
Fieldwork | |||
External visits | |||
Work-based learning | |||
Self-scheduled teaching and learning activities | Semester 1 | Semester 2 | Summer |
---|---|---|---|
Directed viewing of video materials/screencasts | |||
Participation in discussion boards/other discussions | |||
Feedback meetings with staff | |||
Other | |||
Other (details) | |||
Placement and study abroad | Semester 1 | Semester 2 | Summer |
---|---|---|---|
Placement | |||
Study abroad | |||
Independent study hours | Semester 1 | Semester 2 | Summer |
---|---|---|---|
Independent study hours | 174 |
Please note the independent study hours above are notional numbers of hours; each student will approach studying in different ways. We would advise you to reflect on your learning and the number of hours you are allocating to these tasks.
Semester 1 The hours in this column may include hours during the Christmas holiday period.
Semester 2 The hours in this column may include hours during the Easter holiday period.
Summer The hours in this column will take place during the summer holidays and may be at the start and/or end of the module.
Assessment
Requirements for a pass
50% weighted average for MSc students / 60% weighted average for Doctoral students
Summative assessment
Type of assessment | Detail of assessment | % contribution towards module mark | Size of assessment | Submission date | Additional information |
---|---|---|---|---|---|
In-class test administered by School/Dept | MCQ test | 20 | 1 hour | During the second half of module delivery | MCQ test with 30 Questions (1 hour) |
Written coursework assignment | Individual project | 80 | 2,500 words | 3 weeks after last lecture in the Summer Semester | Project (individual) |
Penalties for late submission of summative assessment
The Support Centres will apply the following penalties for work submitted late:
Assessments with numerical marks
- where the piece of work is submitted after the original deadline (or any formally agreed extension to the deadline): 10% of the total marks available for that piece of work will be deducted from the mark for each working day (or part thereof) following the deadline up to a total of three working days;
- the mark awarded due to the imposition of the penalty shall not fall below the threshold pass mark, namely 40% in the case of modules at Levels 4-6 (i.e. undergraduate modules for Parts 1-3) and 50% in the case of Level 7 modules offered as part of an Integrated Masters or taught postgraduate degree programme;
- where the piece of work is awarded a mark below the threshold pass mark prior to any penalty being imposed, and is submitted up to three working days after the original deadline (or any formally agreed extension to the deadline), no penalty shall be imposed;
- where the piece of work is submitted more than three working days after the original deadline (or any formally agreed extension to the deadline): a mark of zero will be recorded.
Assessments marked Pass/Fail
- where the piece of work is submitted within three working days of the deadline (or any formally agreed extension of the deadline): no penalty will be applied;
- where the piece of work is submitted more than three working days after the original deadline (or any formally agreed extension of the deadline): a grade of Fail will be awarded.
The University policy statement on penalties for late submission can be found at: https://www.reading.ac.uk/cqsd/-/media/project/functions/cqsd/documents/qap/penaltiesforlatesubmission.pdf
You are strongly advised to ensure that coursework is submitted by the relevant deadline. You should note that it is advisable to submit work in an unfinished state rather than to fail to submit any work.
Formative assessment
Formative assessment is any task or activity which creates feedback (or feedforward) for you about your learning, but which does not contribute towards your overall module mark.
Reassessment
Type of reassessment | Detail of reassessment | % contribution towards module mark | Size of reassessment | Submission date | Additional information |
---|---|---|---|---|---|
Written coursework assignment | Individual project | 100 | 2,500 words | During the University resit period | Project (individual) |
Additional costs
Item | Additional information | Cost |
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Computers and devices with a particular specification | ||
Printing and binding | ||
Required textbooks | ||
Specialist clothing, footwear, or headgear | ||
Specialist equipment or materials | ||
Travel, accommodation, and subsistence |
THE INFORMATION CONTAINED IN THIS MODULE DESCRIPTION DOES NOT FORM ANY PART OF A STUDENT'S CONTRACT.